Key facts
- 60% of European dealers expect FRTB changes to affect XVA hedges.
- One-third of European dealers fear new market risk rules will have a major effect on hedges.
European dealers are bracing for the impact of upcoming changes to market risk capital rules, specifically the Fundamental Review of the Trading Book (FRTB). According to Risk.net's latest XVA Benchmarking exercise, a significant portion of European respondents anticipate that these new regulations will substantially affect their hedging strategies for derivatives valuation adjustments (XVAs). The survey indicates that 60% of European dealers foresee a major impact on their hedging practices.