Credit valuation adjustment (CVA)
Deutsche Bank's €94 million CVA loss was "good business", dealers say
Big loss was accompanied by even bigger capital saving, traders point out. Other banks now working out their own policy on controversial capital charge
Banks put ‘lazy’ assets to work in first initial margin agreements
Banks tout 'tremendous' capital savings as Bank of America, Barclays, Citi and other swap dealers start using illiquid assets as initial margin
The law of one price is gone
Sponsored statement: Absa
Energy Risk Europe: Questions over benefits of CVA for energy firms
Lack of credit team or CVA desk might make use of measure counterproductive, panellists worry
Cutting Edge introduction: pricing the CVA doom loop
Pricing the CVA doom loop
Capital relief accounts for 70% of some CDS spreads, quants say
New research sheds light on implications of product's role as regulatory capital hedge
Optimising the capital ratio under Basel III
Sponsored statement: Moody's Analytics
Replacement costs add to OTC pricing upheaval
Down the rabbit hole
Barclays and JP Morgan among first to centralise ‘XVA’ desks
Dealers are looking to consolidate desks that manage adjustments for credit, debit and funding valuation
Introducing the XVA desk - a treasurer's nightmare
Grand centralisation
KfW justifies exemptions from Emir
German government-owned development bank KfW managed to win an exemption from clearing and margin requirements under European derivatives regulation - a benefit not extended to its peers. Luke Clancy asks why
RVA proving a struggle for derivatives counterparties
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
Deutsche Bank loses €94 million on CVA mismatch
Hedges worked as capital mitigant, but generated an accounting loss, bank says
VAR models need overhaul to apply CVA proxy rules, says EBA
EBA surprises industry with eleventh-hour guidance that spread simulations – not just initial levels – should account for rating, region and sector
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution, and…
No CVA exemptions in US Basel III rules
Europe isolated as US regulators opt for broad counterparty risk charge
The CVA helter skelter: European supervisors could quash exemptions
Europe’s credit valuation adjustment exemption was the outcome of a protracted legislative debate, but it may prove to be the end of a chapter, rather than the end of the story. As US banks protest and supervisors review the issue, a number of problems…
Backlash on the EU CVA exemption continues
The decision by European legislators to exempt EU banks from the CVA capital charge when trading with certain counterparties has infuriated regulators at home and abroad. Nick Sawyer discusses the issue with Duncan Wood
CVA exemption ignored in UK's capital shortfall exercise
Risk-weighted assets at Royal Bank of Scotland would have been £36 billion lower if exemption agreed earlier this year had been recognised
Bafin weighing CVA charge despite European exemptions
Supervisors ‘should accept the legislation that the council and the parliament in their wisdom have decided upon’, warns MEP
Prop trading no longer an option for dealers, says Masters
Commodity businesses must have broad client base to absorb increased regulatory costs, says JP Morgan commodities head
US expected to take third way on CVA charge
Federal Reserve will not mirror European exemptions but could instead modify treatment of CVA and market risk hedges, industry sources say
Risk Espana survey 2014: Spanish banks play catch-up as regulation looms
Respondents to Risk España’s survey expect to see declines in over-the-counter derivative volumes as a result of regulation and believe less than half the OTC market’s total notional value will be eligible for clearing