NatWest Markets’ CVA reserve swells £136m
Funding benefit and debit valuation adjustment help offset derivatives charge
The trading arm of UK lender RBS put aside £136 million ($170 million) to cover the risk of its derivatives counterparties defaulting in the first quarter, but this did little to mar an otherwise bumper earnings performance.
NatWest Markets increased its valuation reserve – the amount held on balance sheet to cover credit valuation adjustment (CVA), funding valuation adjustment (FVA) and other changes to the fair value of trading positions – by a net £67 million in Q1, an amount charged out of
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