Banks look to securitisation of counterparty credit risk

Banks look to securitisation of counterparty credit risk

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A number of banks are considering securitisations of their counterparty credit exposures, as they look to get their balance sheets in shape ahead of new Basel capital charges.

Credit Suisse is believed to be fairly advanced in a deal expected to come to market early next year. However, at least two other banks are understood to be working on similar structures.

The recent interest comes on the back of a new capital charge for credit value adjustment (CVA) within Basel III, expected to be

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