JPM: EU corporate CVA exemption could split swaps liquidity

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There could be a permanent split in liquidity pools for derivatives if Europe insists on retaining a longstanding carve-out for credit valuation adjustment (CVA) on exposures with corporates, a senior JP Morgan executive has said.

Under the European Union’s original capital requirements regulation (CRR), banks did not need to hold capital against risk-weighted assets (RWAs) generated by CVA exposures with corporates, pension funds and sovereigns. This diverges from the CVA capital standard set

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