The CVA helter skelter: European supervisors could quash exemptions


As Europe crawled towards an agreement on its version of Basel III during the first quarter of this year, some UK banks came to what seemed a reasonable conclusion – legislators had agreed on February 27 to protect corporates, sovereigns and pension funds from the new capital charge for derivatives counterparty risk, known as credit valuation adjustment (CVA), and although the text still had to be formally approved and adopted, it seemed safe to strip the charge out of annual reports.

So they di

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