Citi’s CVA charge up 7% in Q1
Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America
Citi’s capital charge to cover credit valuation adjustments (CVAs) rose almost 7% in the first quarter, to the highest level in a year.
The bank, which was already carrying the heftiest capital requirements for CVAs among US dealers, reported an extra $4.4 billion of risk-weighted assets (RWAs) in the three months to the end of March, to $69.8 billion.
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It was by far the biggest load of any US dealer subject to CVA capitalisation, some 37% above JP Morgan’s – despite the latter having
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