EU banks’ CVA capital to triple if exemptions axed
Seven banks would incur 200bp-plus hit to capital if long-standing waivers were repealed, says EBA
European banks would see their credit valuation adjustment (CVA) risk capital charges more than triple if transactions currently exempted from the requirements were removed, a European Banking Authority (EBA) study shows.
The median EU bank would see its current CVA risk capital charge multiplied 3.06 times if intragroup transactions and trades with corporates, pension funds, and other non-financial entities currently spared the requirements were included in the calculations.
The survey also
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