European banks’ CVA RWAs up €2.2bn in Q3
Banco Sabadell, Intesa Sanpaolo and ING Bank reported largest quarterly increases
European banks’ credit valuation adjustment (CVA) charges continued to inflate in the third quarter, with persistent volatility and declining counterparty worthiness foretelling of further pain for dealers through winter.
Aggregate CVA risk-weighted assets (RWAs) across 23 banks analysed by Risk Quantum reached €37 billion ($38.4 billion) at end-September, up 6% quarter on quarter and 15% since the start of the year. Within the top quartile, increases over these periods averaged 27% and 59%.
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