Societe Generale planning CVA securitisation - sources
LONDON, Feb 22 (IFR) - Societe Generale is close to securitising a portfolio of derivatives counterparty risk in order to relieve some of the punitive capital treatment these exposures attract under Basel III, sources with knowledge of the situation have told IFR.
It comes as a number of banks are understood to be lining up transactions to reduce the capital held against credit valuation adjustments (CVA) on derivatives exposures in order to shed RWA, boost capital ratios and make trading businesses more efficient. (Reporting By Christopher Whittall, editing by Alex Chambers)
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