Sovereign counterparty
European capital rules could squash CVA feedback loop
Original headline:
The European Parliament version of CRD IV exempts trades with non-financials from Basel III's CVA capital charge - and dealers are hoping it covers sovereigns as well as corporates
Published online only
New report calls for debt offices to weigh the pros and cons of two-way collateral and clearing
Original headline:
The date: October 27. The scene: a dining room at one of the world’s biggest banks. The starter: grilled salmon. While glasses of sparkling water were still enthusiastically effervescing, two of the...
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More Sovereign counterparty articles
CRD IV should reflect Emir exemptions, says Bowles
Published online only
Chair of European Parliament's Econ committee believes CRD IV should mirror Emir corporate exemptions, but has not yet decided whether sovereign counterparties should enjoy the same benefit
EBA stress test: Santander’s sovereign swaps exposure not disclosed
Published online only
Banco de España chose not to report Santander’s sovereign derivatives exposure to the EBA because it was 'not material'
Irish debt office agrees to collateralise derivatives
Published online only
The NTMA follows Portugal's debt office in adopting two-way collateralisation - but unlike Portugal it appears it will have to post cash
Perverse capital
Original headline:
Many banks adjust the value of trades to reflect the possibility of their own default, with the counter-intuitive effect that a rise in their credit spread appears as a profit. Basel refuses to recognise this in bank capital rules, but there is a split...
Sovereign volatility puts Basel III CVA charge in spotlight
Published online only
Basel III feedback loop between CDS spreads and CVA capital requirements worries dealers, following month of huge sovereign spread moves
CVA charge will hit sovereign exposures
Original headline:
The Basel III credit value adjustment charge could mean banks have to apply a capital charge on some sovereign-related clients for the first time. A reluctance by these clients to post collateral means these costs could be large. By Laurie Carver
Dodd-Frank extra-territoriality will hurt US banks – Risk.net poll
Published online only
More than two-thirds of respondents think the long arm of Dodd-Frank will put US banks at a competitive disadvantage
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