Credit valuation adjustment (CVA)
CCP capital rules could discourage client clearing, critics claim
Revised Basel rules provide little capital incentive for clearing members to clear trades on behalf of clients, bankers argue
CDS: not dead yet
CDS: not dead yet
Dealers predict CVA-CDS loop will create sovereign volatility
A recipe for disaster?
Credit Suisse and UBS on Basel 2.5: Half a world away
Half a world away
Illiquidity holding back CCDS, despite Basel III endorsement
Basel III allows contingent credit default swaps (CCDSs) to be used as a mitigant when calculating credit value adjustment. Advocates of CCDSs hope that will give the market some momentum – but others say the product will continue to suffer from a…
Q&A: Stefan Walter on Basel III, RWAs, 'anti-American' rules and CVA
“It’s good to have hard deadlines”
Cutting Edge introduction: the DVA debate
The DVA debate
CVA desks to keep buying sovereign CDSs – even if they never pay out
Even if CDS contracts are not triggered in Greek restructuring, Basel III's CVA charge ensures the market will live on - but episode raises fresh questions about design of capital framework, dealers say
Getting CVA up and running
Getting CVA up and running
In the balance
Christoph Burgard and Mats Kjaer discuss the relationship of the funding cost adjustment to the balance sheet
Delayed Basel trading book review will be broad, say supervisors
Basel Committee is expected to consider wide range of topics, including VAR, liquidity, CVA and the line between banking and trading books - but overall capital requirements are not likely to change
Basel 2.5: regulators still wrestling with Dodd-Frank clash
Barriers to Basel
Corporates fear CVA charge will make hedging too expensive
Crunch time for corporates
South African banks grumble over credit pricing discrepancies
To charge, or not to charge?
Basel trading book review delayed
Fundamental review of Basel trading book rules may not begin in earnest until March 2012
Credit Risk USA: Basel trading book regime attacked by dealers
CVA charge and Basel 2.5 rules incoherent and over-complicated, say dealers
Isda to review close-out value definitions
Absence of a standard approach is stifling attempts to value termination clauses, dealers complain
Technology Innovation
Technology Innovation
CVA's cousin: Dealers try to value early termination clauses
Adjustment anxiety
CVA hedging: a false sense of security
Quo vadis, CVA?
Basel III charge could spur interest in CCDS
Development of CCDS could be pushed ahead by Basel III CVA charge, suggest market participants
Irish debt office agrees to collateralise derivatives
The NTMA follows Portugal's debt office in adopting two-way collateralisation - but unlike Portugal it appears it will have to post cash