At a very select group of banks, the experiments have been going on for two years or more. Convinced that funding costs and benefits should be priced into uncollateralised swaps, boffins from finance and risk – as well as the trading floor – have been quietly trying to build a funding valuation adjustment (FVA) framework that will satisfy auditors without making each bank’s swaps too cheap, or too expensive.
It’s proving difficult. On January 14, JP Morgan became only the sixth of eight banks
The week on Risk.net, July 7-13, 2018Receive this by email