European banks’ CVA RWAs up €2.2bn in Q3

Banco Sabadell, Intesa Sanpaolo and ING Bank reported largest quarterly increases

European banks’ credit valuation adjustment (CVA) charges continued to inflate in the third quarter, with persistent volatility and declining counterparty worthiness foretelling of further pain for dealers through winter.

Aggregate CVA risk-weighted assets (RWAs) across 23 banks analysed by Risk Quantum reached €37 billion ($38.4 billion) at end-September, up 6% quarter on quarter and 15% since the start of the year. Within the top quartile, increases over these periods averaged 27% and 59%.

 

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: