How XVAs shaped top US dealers’ trading revenues in Q1
Citi disclosed a -$835 million CVA impact on revenues
Hundreds of millions of dollars were added to, or subtracted from, the first quarter trading revenues of top Wall Street dealers due to derivatives valuation adjustments (XVAs), reflecting wild swings in counterparty creditworthiness over the period.
Regulatory filings show that the debit valuation adjustment (DVA) – which affects the value of a dealer’s derivatives liabilities by factoring in their own credit risk – added more to revenues in Q1 2020 than in any other quarter since public
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