UBS takes Sfr267 million FVA charge

Swiss bank takes FVA charge and removes DVA double-count

UBS

UBS revealed a Sfr267 million loss ($282 million) in its third-quarter results as it revalued its derivatives to reflect the funding costs associated with uncollateralised trades. It is the eleventh bank known to have done so – with many making the move this year, including Deutsche Bank and JP Morgan – and provided some insight into its methodology.

Funding valuation adjustment (FVA) reflects the costs and benefits incurred when uncollateralised trades are hedged with collateralised ones, or

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: