EBA proposes trade-by-trade CVA test for non-EU corporates
Banks would have to check whether exemption applies each time they trade
European dealers are split on a proposal that may require them to assess on a trade-by-trade basis whether to apply the credit valuation adjustment (CVA) capital charge to non-EU corporate customers. Currently, some banks are applying it more broadly than others, which is driving up the prices they charge their customers by as much as 500% according to one corporate treasurer's estimate.
The proposal, published by the European Banking Authority (EBA) on August 5, attempts to standardise the
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