US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
The median credit valuation adjustment (CVA) capital charge for US global systemically important banks (G-Sibs) was 7.7 times larger than for European banks at end-2017, reflecting different implementations of Basel capital rules between the two jurisdictions.
The median capital charges for the US and European Union G-Sibs were $2.1 billion and $275 million, respectively.
Aggregate CVA charges
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