CVA charges concentrated among top banks in Europe
Crédit Agricole, Deutsche Bank, Barclays, Commerzbank and Societe Generale account for 31% of total CVA across 135 banks
Just 20 banks out of 135 surveyed in the European Banking Authority’s (EBA) latest transparency exercise account for two-thirds of regulatory capital charged to cover credit valuation adjustments to non-cleared derivatives, Risk Quantum analysis shows.
As of June 2020, aggregate CVA risk-weighted assets sample-wide totalled €73 billion ($89 billion) and made up 0.7% of the banks’ total RWAs. Risk-weighted assets are used to compute capital requirements.
Of this €73 billion, banks in Germany
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