Funding valuation adjustment - Putting funding into the equation

Funding valuation adjustment

Some practical implications of post crisis thinking on the place of funding costs in the management of bank's derivatives business

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Checking Financial Calculations

There has been much discussion recently on the possible inclusion of a funding spread over Libor (referred to as funding valuation adjustment or FVA) within the approach adopted to value derivatives. As well as valuation, the discussion touches on aspects of accounting, regulatory capital and an institution's internal liquidity management. There are a number of complex aspects of this being debated and this piece of thought leadership sets out a series of proposal for ways forward in a number of these areas.

Updated December 2013

This article represents the views of the author only, and does not necessarily represent the views or professional advice of KPMG in the UK.

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