Banco Santander’s credit valuation adjustment (CVA) capital requirement dropped by one-fifth in the first quarter of this year, to its lowest level since Q3 2017.
The Spanish bank’s CVA charge fell by €34 million ($39 million) to €133 million at end-March – the steepest reduction in percentage terms of the six European global systemically important banks (G-Sibs) that reported CVA figures for Q1 2019.
The CVA requirement now accounts for 14% of the bank’s total counterparty credit risk (CCR)
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