HSBC, Mizuho, US Bancorp ensnared by endgame CVA rule
Notional-based backstop leaves most banks exempt from capitalising non-cleared trades
HSBC North America, Mizuho Americas and US Bancorp may have to start capitalising credit valuation adjustment (CVA) risk under the US’s latest Basel III endgame proposal – a consequence of the size of their derivatives books.
Currently, only banks in categories I and II of the Federal Reserve’s tailoring rule – meaning the eight global systemically important banks (G-Sibs) and Northern Trust –
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