BNP Paribas’s CVA risk charges swell 56% on Basel III overhaul
Impact of new formulas is largest yet for a G-Sib
BNP Paribas’s capital requirements for credit valuation adjustment (CVA) risk surged 56.2% on adoption of Basel III reforms in the first quarter – the biggest increase yet for a global systemically important bank (G-Sib) switching to the new framework.
CVA risk-weighted assets (RWAs) totalled €6.4 billion ($7.3 billion) at end-March, up €2.3 billion in three months and the highest since Q4 2022.
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