RBC’s CVA risk charges swell 42% in first year under FRTB

- By Lorenzo Migliorato
- 07 Jan 2025

Royal Bank of Canada’s capital requirements for credit valuation adjustment (CVA) soared in the first year under the Fundamental Review of the Trading Book, a stark contrast with how charges evolved at its domestic competitors, which employ a wider suite of risk-weighting approaches.

In the quarter ending October 31, RBC’s CVA risk-weighted assets (RWAs) reached C$18.2 billion ($12.6 billion)

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