FVA losses back in spotlight after coronavirus stress
Three US banks suffer combined loss of almost $2bn after rates and funding double whammy
Banks face a new round of losses after two key inputs for calculating funding costs for uncollateralised derivatives – interest rates and funding spreads – saw wild moves last month, contributing to a combined loss of almost $2 billion at Bank of America, Goldman Sachs and JP Morgan.
Ahead of the first-quarter earnings season, the head of the derivatives valuation adjustment (XVA) desk at one large bank pointed to the collapse in interest rates and soaring funding costs, reflected in the asset
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