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.

FVA Project Brief [PDF 20KB]

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

Working Group Members:

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

Start Date: June 2014

Working Group formed: July 2014

Discussion Paper: Q2 2015 (est)