WHAT IS THIS? The XVAs are a family of adjustments that can be made to the price of a derivatives trade, reflecting counterparty risk (CVA), own-default risk (DVA), funding (FVA), capital (KVA) and margin (MVA). Their theoretical roots and practical implementation are still debated, but pragmatism also matters: banks that ignore XVAs are at risk of mispricing a trade; banks that include them are at risk of never winning a trade.

##### CME set to clear CMBX index swaps

Product to clear next year amid fears of falling liquidity from new non-cleared margin requirements

##### Banks warn prime brokerage clients of ‘material’ MVA costs

Some buy-siders reassessing relationships as a result

##### March margin deadline may force clients onto new CSAs

Dealers say they lack capacity to renegotiate thousands of existing collateral agreements

##### Dealers grapple with netting valuation adjustments

Some banks are expressing netting uncertainty as a fair value adjustment to CVA

##### Why not having AAD needn’t be the end of the world

Optimisation method offers quicker and more focused way of making XVA calculations

##### Risk optimisation: the noise is the signal

Benedict Burnett, Simon O’Callaghan and Tom Hulme introduce a new method of optimising the accuracy and time taken to calculate risk for an XVA trading book. They show how to make a dynamic choice of the number of paths and time discretisation focusing…

FRTB model approval regime dogged by confusion and controversy

##### Banks take flexible approach to pricing netting risks

Dealers are adjusting CVA prices, depending on their view of the legal netting opinion

##### MVA: swaps scale new heights in complexity

Banks are turning their attention to calculating a new derivatives valuation adjustment

##### Netting risks create pricing and operational headaches

Oversight of legal risks is not always robust

##### Details of vital FRTB model test still up for grabs

Banks argue valuation adjustments should be left out of the model approval process

##### Dealers wake up to MVA impact of new funding rules

NSFR will force dealers to term-fund initial margin at a time when margin volumes are climbing

##### Senior quant Green swaps Lloyds for Scotiabank

Green to lead development of new XVA pricing model at Canadian lender

##### Time to gear up for MVA

Banks must be prepared for the looming rise of non-cleared margin requirements

Cross-gamma losses estimated at more than $25m for each dealer ##### On derivatives and quants Alexander Lipton on how the role of quants is adapting to the new financial environment ##### Futureproofing risk management Sponsored Q&A: Numerix ##### Structured products: The new value chain Sponsored Q&A: Murex ##### Standardised CSAs: no longer a matter of choice Dealers again seeking simpler terms after 30% drop in non-cleared notionals ##### Risk España Rankings 2016 Global banks advance in the scramble for supremacy ##### Hidden floor: dealers tackle negative rate CSA headaches Banks pushing clients to remove costly interest rate floors in collateral agreements ##### Strength turns to weakness for old OTC market Non-cleared notional falls$36 trillion as costs and complexity grow

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