Virus volatility swelled CVA charges at Barclays, NatWest in H1
PRA capital relief for market risk eased the CVA burden at some lenders
Capital charges to cover credit valuation adjustment on over-the-counter derivatives surged at top UK banks over the first six months of the year. Barclays alone saw its CVA charge climb 58% over the period.
CVA risk-weighted assets (RWAs) at the bank amounted to £3.9 billion ($5.1 billion) at end-June, translating to a capital requirement of £316 million – up from £200 million at end-December. Exposures subject to the CVA treatment increased less than 10% to £17.8 billion over the period. The
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