Double, but no trouble? CVA capital hit may lack clout
Industry opinion mixed around Basel III endgame derivatives charge
US capital proposals would entail a whopping 96% rise in derivatives counterparty risk charges. But while this potential doubling has struck fear into some in the industry, others believe it’s no big deal.
Sources argue banks could slash the capital hit by tweaking hedges to align with the new regulatory view of exposures. There are calls, however, for greater alignment than is perhaps currently
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