CVA exemption in Basel III could save EU banks more than €18bn
Retaining a credit valuation adjustment (CVA) capital charge carve-out for corporate derivatives in the European Union’s implementation of Basel III could save banks €18.2 billion ($20.5 billion), a study by the European Banking Authority shows.
The amount of additional capital that EU banks would need to comply with Basel III reforms if they were adopted wholesale is estimated at €135.1 billion. But the EBA projects this would fall to €116.9 billion if an existing CVA exemption were carried
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