JP Morgan takes $951m XVA hit
Funding spread widening blamed for majority of Q1 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
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