The art of securitising CVA

Securitising CVA


Bankers were shocked when the Basel Committee on Banking Supervision revealed a new capital charge for credit value adjustment (CVA) in a consultation paper in December 2009, arguing it was overly punitive and could lead to at least a doubling of capital needed to support these exposures (Risk February 2010, pages 19–21). Some banks immediately started to think about how they could optimise their balance sheets and reduce capital requirements – and securitisation is one avenue a number of firms

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