Funding valuation adjustment (FVA)
A guiding light for corporates lost in the fog of XVAs
Chris Kenyon proposes a framework for optimising XVAs – from the client perspective
Client engineering of XVA
A client’s guide to reducing XVA in times of need
Podcast: Matthias Arnsdorf on a new – and cheaper – KVA
Quant proposes approach anchored by a dealer’s default rate rather than its return on equity
KVA as a transfer of wealth
A capital valuation adjustment designed to preserve a firm’s value to shareholders is introduced
At UniCredit, XVAs amped trading gains in Q3
Italian bank claimed a €110 million benefit to earnings from valuation adjustments
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
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