Introducing the XVA desk - a treasurer’s nightmare
Disparate – but intimately related – adjustments to derivatives prices are being put under one umbrella by some dealers, uniting counterparty risk, funding, collateral and capital management in one super-desk. That frightens some treasurers, who see it as a power grab. Laurie Carver reports
Working out how to organise the management of what some banks call the XVAs may initially seem an innocuous issue. The term groups together the pricing adjustments that have grown in number and importance since the financial crisis – the best-known being credit, debit and funding valuation adjustment (CVA, DVA and FVA) – and because these values overlap, some banks are grouping them
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Short dollar bets make cautious return after safe-haven rush
Cautious USD-weakening positions re-emerge despite return of natural ‘dollar smile’ hedge
Ice’s Sprecher: institutional prediction bets ‘a matter of time’
Longer-term vision for ‘niche’ energy event contracts may be aided by recent Polymarket tie-up
The ‘addictive’ way of working behind Marex’s rapid growth
Staff are encouraged to run lots of little experiments to figure out what works – and what doesn’t
CME’s Duffy warns against government intervention in oil markets
Exchange head doesn’t rule out possibility of oil hitting $150 a barrel
Offshore bonds to give China lifers a yield lifeline
Expansion of Bond Connect scheme will provide higher yielding assets for life insurers, and may ease concerns over asset-liability management
Prop AMM makes CIO Jump to attention
Jump Trading’s Olsen says new tool allows users to create a ‘mini’ version of the firm
Morgan Stanley makes cuts to real money FX coverage
Departures from London-based team came as bank was reportedly shedding 2,500 jobs
Wheels in motion: AB fully automates forex trade execution
US fund manager claims to save time and money with hands-free trading