XVA / Valuation Adjustment
CVA/DVA/FVA across the derivatives portfolio by counterparty. Draft engine — indicative figures pending governance.
Runnable once promoted to PROD
Total CVA
$31M
credit valuation adj.
Total DVA
$13M
debit valuation adj.
Net XVA
$28M
CVA − DVA + FVA
Draft — not yet governed
This XVA engine is a DRAFT on the App Studio canvas and has not been submitted through the release pipeline. The figures below are indicative and are not an official valuation adjustment until the app is promoted to PROD.
CVA by counterparty
credit valuation adjustment
Top contributors
| Counterparty | CVA | DVA | FVA | Net |
|---|---|---|---|---|
| SOFTBANK | $8,400,000 | $1,100,000 | $2,600,000 | $9,900,000 |
| PEMEX | $6,900,000 | $740,000 | $1,900,000 | $8,060,000 |
| DB | $4,200,000 | $2,800,000 | $1,400,000 | $2,800,000 |
| CITADEL | $3,600,000 | $900,000 | $1,050,000 | $3,750,000 |
| GS | $2,400,000 | $2,600,000 | $820,000 | $620,000 |
| JPM | $2,100,000 | $2,300,000 | $690,000 | $490,000 |
| MS | $1,800,000 | $1,500,000 | $560,000 | $860,000 |
| NIPPONLIFE | $1,300,000 | $600,000 | $410,000 | $1,110,000 |
| Portfolio | $30,700,000 | $12,540,000 | $9,430,000 | $27,590,000 |