Before revision: Given the limited CDS market it is inevitable that CVA desks will partially warehouse credit risk . Thus realistic CVA pricing must include both warehoused and hedged risks. Furthermore, warehoused risks may produce profits and losses which will be taxable.
After revision: Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be priced in the physical measure, rather than the risk neutral measure, and implies profits and losses which will be taxable.