Credit valuation adjustment (CVA)
Despite hard-won exemptions, corporates should consider the pros and cons of clearing, according to panellists at an ACT event - but treasurers remain unconvinced
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More Credit valuation adjustment (CVA) articles
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
Banks have nine months until elements of Basel III are due to come into force, but details of implementing legislation are still being debated
The latest council draft adds a CVA capital charge exemption for sovereign derivatives transactions – potentially removing one of the big unintended consequences of CRD IV, participants say
Towards two-way CSAs
Comment letters from Isda and Bank of Montreal argue Basel Committee proposal on DVA deductions goes too far
The costs of transacting swaps with one-way CSAs mean more debt offices could join Hungary, Ireland, Portugal and Sweden
Patchwork of risk measures - including standalone CVA charge - may be left intact
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA - with US banks hardest hit
Dealers will have to change the way they approach long-dated derivatives business, says Barclays Capital’s Jerry del Missier
European capital rules could squash CVA feedback loop
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