ABN Amro crushes CVA charge with index hedges in H1

Lorenzo Migliorato
12 Aug 2020

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ABN Amro halved the amount of regulatory capital charged for its uncollateralised derivatives exposures over the six months to end-June through the use of credit default swap hedges.

The Dutch bank bought €125 million ($147 million) of notional protection through credit default swap index (CDX) derivatives in the first half of the year to offset its credit valuation adjustment (CVA) capital requirement, which is charged to cover the risk of its derivatives counterparties collapsing. CVA charges

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