RBC’s CVA capital charge up 22% since FRTB adoption

Bank eschewed revised standardised approach in favour of simpler yet constraining formulas

Royal Bank of Canada’s credit valuation adjustment (CVA) charges have increased by more than a fifth in the six months under the updated Basel III regime, inflating at a far brisker rate than at its peers.

The dealer’s CVA risk-weighted assets rose 22.1% to C$15.7 billion ($11.5 billion) at the end of April, up from C$12.9 billion at end-October, on the eve of Canada’s adoption of revised RWA formulas under the Fundamental Review of the Trading Book (FRTB).

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