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

Some banks accused of jumping the gun by including the cost of the charge in trades

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

To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: