JP Morgan takes $951m XVA hit

Changes to the valuation of derivatives (XVAs) forced on JP Morgan because of last month’s market turmoil inflicted a $951 million loss in Q1.

The New York-based dealer said a widening of the funding spread for derivatives drove the loss, captured under “credit adjustments and other”. This line item aggregates costs and benefits to trading revenues caused by funding valuation adjustment (FVA) and credit valuation adjustment (CVA).

The FVA/CVA loss is JP Morgan’s biggest in at least five years

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: