New developments in XVA: an inside view on bank strategy in a changing world

The panel

• Allan Cowan, Global head of financial engineering, financial risk analytics, S&P Global Market Intelligence
• Connor Campbell-Coleman, Head of XVA and derivative optimisation, group corporate treasury, Lloyds Bank
• Florent Kpodjedo, Director, Banque Nationale du Canada
• Victor Mofokeng, Head, long-term credit portfolio trading, Absa Group
• Moderator: Phil Harding, Global head of commercial content, Risk.net

Recent banking failures and market events have exposed the impact of derivatives valuation adjustments (XVAs) on banks’ earnings in the face of market volatility. Regulatory capital remains a persistent challenge, with the idiosyncrasies of the Fundamental Review of the Trading Book (FRTB) adding to the complexity. Current market conditions, including high inflation, rising interest rates, declining equity and widening credit spreads, have heightened concerns among market players.

This webinar, presented by Risk.net in collaboration with S&P Market Intelligence, addresses these market issues and explores banks’ strategies for optimising capital efficiency. The webinar sheds light on how banks are adapting to changing regulation, how they minimise the impact of market volatility on capital requirements and how customers are future-proofing their portfolios.

The following themes are discussed:

• The impact of bank failures on the XVA desk: hedging under volatile credit spreads
• The emergence of dirty credit-support annexes (CSAs): managing collateral shifts as banks depart from clean CSAs
• Challenges of FRTB standardised approach to credit valuation adjustment hedge recognition: exemption of funding valuation adjustment hedges, suboptimal credit index hedging
• The evolving role of margin valuation adjustment and capital valuation adjustment in derivatives pricing

This is essential viewing for risk managers and heads of XVA desks in banks, and those involved in derivatives valuation, data and technology.

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