ABN Amro crushes CVA charge with index hedges in H1
Risk-weighted assets for CVA drops 48% in six months to end-June
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
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