Basel Committee launches FVA project
US regulators also looking into divergent valuations for uncollateralised swaps
Basel Committee headquarters
The Basel Committee on Banking Supervision has launched a project looking at how banks value their uncollateralised derivatives portfolios, Risk has learned. The scope and aims of the project are not known, but industry sources speculate it may address potential double-counting.
US bank supervisors are also looking at uncollateralised trade valuations "to see what, if any, action may be necessary", says a spokesperson at the Federal Deposit Insurance Corporation (FDIC).
More than 20 banks are
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