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Funding Valuation Adjustments 2014

Funding Valuation Adjustments 2014

The Standards Board has identified a lack of consensus over when and how the cost of funding an uncollateralised position in a derivative should be reflected in a valuation of that position. Adjustments to reflect this cost have become known as funding valuation adjustments (FVA). This project is to examine the different approaches taken and to identify what, if any, guidance the Board should be issuing.

Some of the issues are highlighted in the recently approved interim guidance on Credit and Debit Valuation Adjustments (CVA/DVA). This project will examine the topic in greater detail and the outcome of the FVA project may lead to amendments to the CVA/DVA paper.

Working Group Members:

An expert working group was formed in July 2014 to advise the Board.

Board members
Cindy Ma Project Leader New York
Ragveer Brar London
External experts
Andrew MacNamara Houlihan Lokey New York
Daniel Sommer KPMG Frankfurt
Maurice McCormack Ernst & Young London
Moorad Choudhry Brunel University London
Olivier Moreau JP Morgan New York
Simon Ibbotson PRA, Bank of England London
Siobhan Tipping Ernst & Young Amsterdam
Tanguy Dehapiot BNP Paribas London
Tanveer Bhatti Citi London
Vikas Karlekar Barclays London
Nigel Hyde Markit London
Robert Smith Santander Madrid

Background

Documentation

FVA Project Brief

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