Funding pain prompts calls to rehome FVA

Dealers push to move derivatives funding costs out of P&L following March’s outsize losses

An arcane corner of the derivatives market has moved centre stage after huge swings in funding costs earlier this year forced banks to revalue trades and book billions in losses.

Funding valuation adjustment, or FVA, is one of the changes banks make to the fair value of their derivative trades to take into account various risks. Some of these changes are hedgeable. Some are not.

FVA, banks say, is not. Traders are now calling for FVA to be moved out of the profit and loss statement to avoid

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: