Some European banks pricing in Pillar 2 CVA charge
But three dealers say it is too early to know whether corporate CVA exemption will be removed
Market participants claim that some European banks have started pricing regulatory charges for counterparty credit risk into derivatives trades with the region's corporates, ahead of a possible removal of an exemption allowing them to waive this cost. But three European banks say it is too early to include the charge.
Uncertainty over whether European banks will be required to apply a credit valuation adjustment (CVA) regulatory capital charge to their legacy corporate positions is said to have
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