US regulator asks banks for FVA information
OCC has requested info on how banks calculate FVA, including funding spreads and model validation techniques
A US regulator has been asking dealers for detailed information about how they calculate the cost of funding uncollateralised derivatives trades, which some suggest could lead to regulatory guidelines on the issue.
The Office of the Comptroller of the Currency (OCC) is focusing on how banks define FVA, the funding spreads they use to calculate the measure, and how the models are validated, according to three sources. One bank source says the regulator requested access to its systems to further
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