XVAs ate $401m of JP Morgan’s revenues in 2020

Credit valuation adjustment on derivatives cost $337 million alone

JP Morgan deducted $401 million from trading income in 2020 to cover valuation adjustments (XVAs) linked to its derivatives portfolio – the most since the bank expanded its accounting framework to capture all of these in 2013. 

In its annual filings, the New York-based bank said it lopped $337 million off principal transactions revenue for credit valuation adjustments (CVA) and $64 million for funding valuation adjustments (FVA), though this didn’t taken into account the effect of hedging

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Most read articles loading...

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