RBC’s CVA risk charges swell 42% in first year under FRTB
Bloating RWAs contrast with declines at peers employing new standardised approach
Royal Bank of Canada’s capital requirements for credit valuation adjustment (CVA) soared in the first year under the Fundamental Review of the Trading Book, a stark contrast with how charges evolved at its domestic competitors, which employ a wider suite of risk-weighting approaches.
In the quarter ending October 31, RBC’s CVA risk-weighted assets (RWAs) reached C$18.2 billion ($12.6 billion), marking a 12.9% increase over the previous quarter and a 41.5% rise since Canada’s adoption of the FRTB
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