Citi takes $474 million FVA charge
Citi has taken a $474 million FVA charge in its third-quarter results, becoming the tenth bank to incorporate the cost of funding into the value of its derivatives trades
Citi has become the latest bank to recognise the funding effects associated with uncollateralised derivatives trades, booking a $474 million loss in its third-quarter results, published yesterday.
Funding valuation adjustment (FVA) reflects the costs and benefits incurred when uncollateralised trades are hedged with collateralised ones, or where received collateral is not reusable. Ten banks now recognise FVA in their earnings.
In Citi's investor call on October 14, chief financial officer John
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