Funding valuation adjustment (FVA)
XVA traders have no time to rest on laurels
Markets have calmed, but they may not be out of the woods yet
Commerzbank takes €111m of XVA losses in H1
Valuation adjustment benefits gained in Q2 did not offset huge Q1 losses
HSBC trading unit hit by $355m of XVA costs in H1
Wider spreads continued to eat into derivatives values
JP Morgan posts $510m XVA gain
Benefit reverses some of the previous quarter’s record loss
Funding adjustments in equity linear products
How tax asymmetries and Tobin tax affect the pricing of total return swaps
ING hit by €92m XVA loss
Credit trading business tagged for trading losses
Crédit Agricole, Natixis, UniCredit pummelled by XVA losses
Top banks take combined €207 million hit from valuation adjustments
NatWest Markets’ CVA reserve swells £136m
Funding benefit and debit valuation adjustment help offset derivatives charge
XVAs take $346m bite out of HSBC’s trading profits
Derivatives valuation adjustment impact pushes trading profits down 49%
Credit Suisse takes $51m derivatives hedging loss
Net trading revenues down 47% on year-ago quarter
FVA losses back in spotlight after coronavirus stress
Three US banks suffer combined loss of almost $2bn after rates and funding double whammy
JP Morgan takes $951m XVA hit
Funding spread widening blamed for majority of Q1 hit
Scotiabank takes C$116m XVA charge
Introduction of centralised valuation platform altered fair value of uncollateralised positions
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
In the balance redux
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
Podcast: McClelland on why you need a good MVA model
Numerix quant presents a model aimed at showing the total cost of a trade
Japan’s megabanks begin pricing in CVA
Local firms align with foreign dealers to include counterparty credit risk in corporate swap quotes
Sovereign swaps users should learn from Italy’s mistakes
Posting collateral is a cost debt offices must embrace, argues Stefania Perrucci
NSFR pricing Singapore banks out of swaps market, dealers say
Market share in long-dated trades has halved since metric was imposed at start of year
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
XVA: back to CVA?
Fundamental questions on CVA remain unanswered, writes mathematical finance head
Degree of influence, 2017: Quants dissect initial margin
Initial margin, optimal execution and applications of machine learning were the hottest topics of 2017