CVA capital charges jumped 50% at systemic US banks in Q1
Goldman Sachs’ charge climbs 76% quarter-on-quarter
All eight US global systemically important banks (G-Sibs) saw their credit valuation adjustment (CVA) capital requirements surge dramatically in the first three months of the year, reflecting chaotic trading conditions triggered by the coronavirus crisis.
Aggregate risk-weighted assets across the G-Sibs for CVA increased by $90.6 billion (+50%) to $271.4 billion in Q1. Minimum capital requirements are set as 8% of RWAs, meaning the aggregate charge for CVA was $21.7 billion at end-March.
Goldm
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