Danske shrinks CVA capital charges 44% after hedge revamp
Credit protection buying spree helps cut capital requirements to lowest level since 2014
Danske Bank curbed its credit valuation adjustment (CVA) capital requirements to their lowest level on record in Q2, reshuffling hedges six months into operating under final Basel III rules.
CVA risk-weighted assets (RWAs) fell 43.6% to Dkr2 billion ($228.7 million), a decline the bank attributed to “hedge optimisation”. It marked the lightest capital requirement since Danske began capitalising
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
US G-Sibs post record secured finance flows in LCR
Q3 spike continues long-term shift toward secured funding and lending in liquidity stress scenario
JP Morgan attracts bigger add-on from Fed’s G-Sib scoring
Methodological divergence with Basel Committee results in double the surcharge
US G-Sibs diverge on cashflow volatility
Maturity mismatch add-on hits peak at two banks and trough at two others
Bank of America leaps to fourth on global OTC derivatives ranking
Bank overtakes BNP Paribas, Morgan Stanley, Goldman and Citi with €8.3 trillion expansion in 2024
How window-dressing distorts US repo markets
Banks crush their repo balances periodically to massage systemic indicators, with far-reaching consequences for borrowing rates
All 14 G-Sib indicators hit records in 2024
Aggregate measures of systemic importance for top banks jumped to new highs, driven by sharp rises in underwriting activity and securities trading volumes
Morgan Stanley set for biggest reset under softened eSLR
Bank’s leverage utilisation to fall from over 90% to 64% under new buffer
BofA and ICBC lose, Deutsche wins in latest G-Sib audit
Latest assessment of systemic lenders brings capital relief to German giant
