UBS takes Sfr267 million FVA charge

Swiss bank takes FVA charge and removes DVA double-count


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

To continue reading...

You need to sign in to use this feature. If you don’t have a 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: