JPM: EU corporate CVA exemption could split swaps liquidity

Isda AGM: Market may price in permanent lower capital charge if exemption retained in CRR III


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

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.


Want to know what’s included in our free membership? Click here

This address will be used to create your account

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 individual account here