Morgan Stanley’s CVA capital charges surge 42% in Q3
Jump in simple approach output drives RWAs to highest since 2020
Morgan Stanley’s capital requirements for credit valuation adjustment (CVA) risk skyrocketed 42% in the third quarter, driven overwhelmingly by charges computed under the simple approach, where the bank’s internal inputs have limited sway.
Risk-weighted assets (RWAs) calculated using this less sophisticated CVA methodology – which only allows banks to assign their own probabilities of default to counterparties, with all other inputs standardised – reached $19.1 billion at end-September, marking
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