CVA risk charges spike 73% at EU banks under Basel III
Crédit Agricole leads surge, as basic approach dominates CVA capital calculations
Credit valuation adjustment (CVA) risk-weighted assets (RWAs) jumped 73% across 18 European banks analysed by Risk Quantum in the first quarter, following the implementation on January 1 of the Fundamental Review of the Trading Book for CVA.
On aggregate, banks reported €38.6 billion ($45.2 billion) in CVA RWAs, up from €22.3 billion three months earlier – the highest figure since at least Q4 2017
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