FVA losses back in spotlight after coronavirus stress

Three US banks suffer combined loss of almost $2bn after rates and funding double whammy

Spotlight-on-FVA
Risk.net montage

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

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: