KPMG AG Wirtschaftsprufungsgesellschaft (KPMG) has chosen to use SunGard s Adaptiv Analytics to help provide its clients with assessments of
credit valuation adjustments (CVA) and to support their use of simulation-based approaches to compute derivatives exposures for internal risk steering and regulatory capital calculations.
Traders may optimize their portfolios based on market movements, but risk managers are monitoring and orchestrating limit checks, quantifying liquidity and funding ratios, and calculating the challenging profitability formulas, such as
credit valuation adjustments and funding cost adjustments, as well as debt valuation adjustment and funding cost benefits.
1 billion gain from so-called
credit valuation adjustments, an accounting rule that requires banks to book losses when the value of their debt rises and gains when it declines.
The proposal document is intended to gather stakeholders' views on the capitalisation of bank exposures to CCPs and the treatment of incurred
credit valuation adjustments, both of which were insufficiently explored in a February 2010 consultation, according to the EC.
The consultation covers a number of areas: different capital requirements for qualifying and non-qualifying CCPs and transactions; charges for banks that access CCPs directly - by becoming fully paid-up members - or those that go through a member of the CCP; banks' contributions to the CCP's default fund, which will be used to mop up in case on of the parties to a transaction can not afford to pay its debts; the treatment of incurred
credit valuation adjustments - where the creditworthiness of the counterparty is reflected in the price of the derivative contract.
Among other factors, net trading income made no profit contribution because of IFRS guidelines relating to
credit valuation adjustments on derivatives (around minus 30 million).
