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A flexible, cloud-based solution delivering deal-time valuation adjustments to the XVA desk

Mispricing of derivative valuation adjustments is a clear and present danger as demonstrated by several high-profile write-downs in recent years. To lead the competition in this fast-paced world of derivatives trading, it is essential that banks have a complete and accurate picture of the true profit and loss (P&L) and capital associated with potential deals.

XVA from S&P Global delivers deal-time insights to the front office XVA desk with a comprehensive view of the valuation adjustments arising from counterparty credit risk, funding, collateral, and regulatory capital.

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Get deal-time insights to the front-office XVA desk With our XVA Solutions

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Leading global investment bank upgrades to S&P Global’s XVA solution.

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XVA Pricer

Gaining a full view of OTC derivatives trading costs by calculating valuation adjustments is crucial for sell-side banks and their end-user clients. Regulatory and accounting scrutiny have heightened the awareness of these costs for counterparty credit risk, funding, and capital.

The XVA Pricer from S&P Global Market Intelligence allows users to enter a variety of derivative trades in an intuitive Cloud based UI and calculate a comprehensive set of valuation adjustments in seconds. The solution is preloaded with the latest market data. No fees for onboarding, implementation, or data. Just enter your trades and go.

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XVA Solution

The XVA solution delivers deal-time insights to the front office XVA desk with a comprehensive view of the valuation adjustments arising from counterparty credit risk, funding, collateral, and regulatory capital.

Run Risk-Neutral alongside Real-World simulation models in one system realizing efficiencies across PFE risk management and XVA trading. Fully hosted cloud UI and with expert support globally. Full coverage across most instrument types and currencies with flexibility to amend nominal cash flows and credit spreads on the fly.

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Benefits of our XVA platform

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Complete picture of derivative trading costs

Global Monte Carlo simulation allows derivative valuation adjustments to be calculated consistently and in one platform

Aggregate without compromise

Store intermediate results so that XVA calculations can be explored for model validation and reused for portfolio calculations

Deal-time SA-CVA in under a minute

Calculate SA-CVA on a deal time basis to gain a competitive advantage in making trade decisions with an understanding of return on capital.

Cloud compatible across major providers

Pay only for what you use with technology built to scale up or scale down depending on your needs

Unify front and middle office

Benefit from efficiency gains by calculating real world potential future exposure (PFE) alongside risk neutral valuation adjustments so that Risk Managers and Traders can work off the same platform giving a consistent view of risks.

Reduce Total Cost of Ownership (TCO)

Leverage our platform’s turnkey capabilities and project acceleration track-record without sacrificing flexibility

Awards Received

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Watch our Risk.net interview on using big data to solve the xVA compute challenge.

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Related FAQs

What is XVA?

X-Value Adjustment (XVA) is a collective term for “valuation adjustments” made to derivative trades to reflect various costs related to the trade. The first valuation adjustment was Credit Value Adjustment (CVA); which reflect the credit risk for a given counterparty of a trade. Since the creation of CVA, additional valuation adjustments have been created to capture the cost of funding (FVA), cost of your party defaulting (DVA), cost of collateralization (KVA) and the cost of initial margin (MVA).

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XVA

A flexible, cloud-based solution delivering deal-time valuation adjustments to the XVA desk

XVA Pricer

XVA Solution

Benefits of our XVA platform

Complete picture of derivative trading costs

Aggregate without compromise

Deal-time SA-CVA in under a minute

Cloud compatible across major providers

Unify front and middle office

Reduce Total Cost of Ownership (TCO)

Awards Received

Related financial services products you may be interested in

Watch videos

Related financial services thought leadership

Implied Interest Rate Volatility and XVA: How the One-Factor Hull-White Model is Weathering Changing Markets

Probing the Limits of Initial Margin: Wrong-Way Risk with Jump-at-Default

Managing Hard Wrong-Way Risk: Fusing Collateral, Jump-at-Default, and XVA

Trading risks and a spotlight on XVA: Panel discussion from Risk Live Europe 2023

New developments in XVA: an inside view on bank strategy in a changing world

Navigating the Challenges and Nuances of Hedging in SA-CVA

S&P Global Market Intelligence wins Waters Sell-Side Technology Awards 2023

The future of XVA desks in volatile markets

Webinar Rewind: How can banks reduce regulatory risk capital in volatile markets?

How can banks reduce regulatory risk capital in volatile markets?

Improving XVA Accuracy with Empirical Martingale Simulation

xVA Neural Net Engine - Machine Learning Accelerated xVA Simulations

CVA Acceleration: Going Quasi

What will drive capital markets firms to migrate to cloud in 2020 and beyond?

xVA Modeling: Squeezing accuracy from the industry standard Hull White model

Global investment bank takes S&P Global XVA Solution

Flattening the (Funding) Curve

xVA Loss and Capital Buffers during the COVID-19 market turmoil

Special report: FVA – Time to go asymmetric?

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xVA: A collection of thought leadership

How can banks keep pace with XVA?

Using big data to solve the XVA compute challenge

FVA – time to go asymmetric?

The impact of region on FVA submissions

Accelerating CVA calculations using Quasi Monte Carlo Methods

CCR KVA with Least Squares Monte Carlo

CVA Wrong Way Risk: What does the CDS data tell us?

Managing xVAs: Why legacy technology systems are feeling the strain

CVA and Beyond: SA-CVA Capital Requirements and xVA optimization

MVA: The next challenge for derivatives pricing

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