Case study
Corporates, energy and commodities: your own XVA on every bank quote
For corporates, energy and commodity firms: an independent XVA to check bank quotes against as the CVA capital exemption for corporates ends, CVA and DVA for IFRS 13 fair value, and counterparty exposure across the hedging book where credit terms and margining drive the cost of hedging.
Case study, 4 pages, PDF. Sent on request, to a company email.
What it covers
- Your own XVA on each quote, on the netting set and CSA terms actually agreed, as banks start charging CVA capital on corporate trades
- CVA and DVA for IFRS 13 fair value and hedge accounting, without a quant team
- Exposure by counterparty across the hedging book, and the margin cost of clearing against bilateral
