How to price XVA on a new deal

PUBLISHED:
6 March 2017
6 AM

BY:
Thomas Griffiths

Today’s OTC derivative trades no longer rely on a market quote but include CVA, DVA and FVA in the pricing calculation. This means that the counterparty’s creditworthiness, your cost of funding and your collateral agreements all contribute adjustments to the final price of a trade.

Calculating these adjustments quickly and easily at the point of trading is essential to making sure trades are executed at the correct level and that a costly re-mark won’t hit the books in the future.

The triCalculate pricing functionality provides a competitive advantage when pricing new OTC derivative trades by providing an overview of the how XVA numbers would change for a netting set. This assists your decision making in putting on a new trade.

How it Works

The triCalculate GUI has been developed to provide easy to use functionality for pricing a new OTC derivative trade. CVA DVA and FVA calculations can be performed in a couple of seconds to ensure you are trading at the ‘right’ price.

To price the XVA impact of a new deal in triCalculate simply follow these steps:

  1. Go to the ‘New Deal’ tab.
  2. Enter the trade details into the relevant fields.
  3. Hit “Price New Deal” button.
  4. See your results

Questions 

If you have any questions about triCalculate, or would like assistance viewing, understanding or analysing your XVA results and calculations please contact us via email at [email protected]<script data-cfhash="f9e31" type="text/javascript">/* */</script> or speak to your local office.