Banks look to securitisation of counterparty credit risk

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Credit Suisse is believed to be fairly advanced in a deal expected to come to market early next year. However, at least two other banks are understood to be working on similar structures.

The recent interest comes on the back of a new capital charge for credit value adjustment (CVA) within Basel III, expected to be finalised this month. Bankers were horrified when the CVA charge was revealed in a consultation paper last December, arguing it was overly punitive and could lead to at least a

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