Debit valuation adjustment (DVA)
DVAs inflate US banks’ liabilities by $4.9bn
Credit spread retrenchment since last year’s crisis comes with flipside of larger structured-product liabilities
XVA in Japan: the outlook for 2022
Hiroyuki Yoshizawa, executive director, pricing valuations and reference data at IHS Markit Group Japan explores why financial institutions that were early-accounting CVA adopters are now taking the next steps on their XVA journeys
Nomura nets ¥3.8 billion from CVA and DVA gains
Windfall offsets previous quarter’s loss more than three times over
How XVAs hit top US banks’ trading revenues in 2020
JP Morgan led systemic banks on losses due to valuation adjustments
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
Commerzbank takes €111m of XVA losses in H1
Valuation adjustment benefits gained in Q2 did not offset huge Q1 losses
VAR doubles at JP Morgan in Q2
Trading risk for fixed income products jumps to $129 million
Prudential filters crimp some banks’ own funds, boost others
Two banks saw CET1 climb more than 5% at end-2019 through the EU’s valuation adjustments
How XVAs shaped top US dealers’ trading revenues in Q1
Citi disclosed a -$835 million CVA impact on revenues
Crédit Agricole, Natixis, UniCredit pummelled by XVA losses
Top banks take combined €207 million hit from valuation adjustments
Credit Suisse takes $51m derivatives hedging loss
Net trading revenues down 47% on year-ago quarter
At Bank of America, trading revenues get a $300m DVA boost
But credit and funding valuation adjustments deducted $492 million from other income
Rates trading revenues up 154% at top US banks
Net gains on interest rates-related exposures top $21 billion
Scotiabank takes C$116m XVA charge
Introduction of centralised valuation platform altered fair value of uncollateralised positions
First-half trading revenues at US G-Sibs increase by a third year-on-year
Income from interest rate exposures more than tripled on H1 2018, while equity revenues increased 17%
Wells Fargo takes $112m CVA hit in 2018
Trading revenues decline $54 million overall through derivatives adjustments
CVA gain bolsters JP Morgan trading revenues
$302 million of first half trading revenues attributed to credit valuation adjustment
XVA swings boost US bank trading revenues
DVA change pares down dealers' derivative liabilities
Basel arbitrage warning leaves dealers guessing
Banks told to avoid trades that offset regulatory adjustments, but details are thin
Basel CVA bombshell widens gulf with bank accounting
Dealers face conflicting incentives and capital hike after internal models are blown away