Basel III heralds wild CVA capital swings
Minimum required capital for CVA to climb 64% for large banks, but some banks will see falls of up to 67%
Revised rules for calculating credit valuation adjustment (CVA) charges will cause one bank’s capital requirement to surge 3,676% above current levels, a report by the Basel Committee shows.
The latest Basel III monitoring report found that large, internationally active banks – known as Group 1 firms – will see their CVA charges increase by an average of 64% compared to the present regime. The capital effects vary wildly bank-to-bank, however.
At the top of the range, one bank in this group
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