BMO, Scotia crush CVA charges
CVA capital requirement fell 48% at BMO last quarter
Canadian dealers BMO and Scotiabank collectively saw capital charges to cover credit valuation adjustment (CVA) risk in their derivatives portfolios fall by C$412 million ($313 million) over the three months to end-July.
BMO disclosed a CVA charge of C$300 million over the last quarter, down 48% on the three months to end-April. Over the same period, exposures subject to the CVA methodology actually increased 3% to C$26 billion. The bank cited the fall in CVA requirements as one reason its
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