US expected to take third way on CVA charge

three-apples-on-a-line

US regulators are said to have dismissed the idea of copying Europe's exemptions to the credit valuation adjustment (CVA) capital charge, and are instead planning to change the way hedges are recognised when they publish their own version of Basel III, possibly before the end of June.

"I understand perfectly why Europe's exemptions are there, but exemptions are the last resort of a legislative process and the US has no intention of mirroring them. They are more inclined to make different changes

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