How XVAs hit top US banks’ trading revenues in 2020

JP Morgan led systemic banks on losses due to valuation adjustments

Valuation adjustments (XVAs) to systemic US banks’ derivatives portfolios – caused by swings in their own creditworthiness and that of their clients through the coronavirus crisis – had a disparate impact on 2020 revenues, Risk Quantum analysis shows.

Of the six major Wall Street derivatives dealers, four – Bank of America, Citi, Goldman Sachs and JP Morgan – disclosed the impact of credit, funding and debit valuation adjustments (CVA, FVA, DVA) on their trading revenues for 2020 and prior

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