XVA swings boost US bank trading revenues

Derivative valuation adjustments (XVAs) contributed $517 million, or 3%, to large US banks’ trading revenues of $17.3 billion in the first quarter, largely as a result of a deterioration in the dealers’ own creditworthiness. 

Six US dealers – JP Morgan, Citigroup, Bank of America, Goldman Sachs, Morgan Stanley, and Wells Fargo – together attributed $335 million in gains to debit valuation adjustment (DVA), and $182 million to credit valuation adjustment (CVA).

Citigroup benefitted the most

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