XVA Special report 2018

After a turbulent decade, the past couple of years have arguably been a little easier for the derivatives valuation community. Overnight indexed swap (OIS) discounting is market standard for cash collateralised instruments, while funding and capital valuation adjustments are no longer a matter of debate. Margin valuation adjustment could be on the horizon, but the Street is largely in ‘wait‑and‑see’ mode.

However, benchmark reform is a potential fly in the ointment. For euro swaps collateralised with cash, the rate used for discounting future cashflows – Eonia – will be banned for use in new trades from 2020, as it will not comply with the European Union’s benchmarks regulation.

Download the full 2018 XVA special report in PDF format

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The transformational role of the XVA desk

Regulatory changes that are increasingly complicating valuation methodologies are having a transformational effect on the derivatives industry. Satyam Kancharla, chief strategy officer and senior vice‑president of the Client Solutions Group at Numerix,…

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