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)