How to calculate and understand your CVA, DVA and FVA with or without a collateral agreement in place

PUBLISHED:
1 January 2017
6 AM

BY:
Thomas Griffiths

triCalculate can help assess the cost of entering into a collateral agreement which will directly affect the pricing of an OTC derivative. As new margin rules are implemented in the US (September 2016) and Europe (Spring 2017), triCalculate can assist in the transition to a new or upgraded collateral relationship.

The triCalculate risk engine can run CVA, DVA and FVA calculations on a large OTC derivative portfolio in minutes to ensure you have all the risk numbers you need to consider the exposures in your portfolio or to negotiate new collateral agreements with counterparties. triCalculate compares the impact of collateralisation on pricing by delivering results for the two alternatives quickly and easily.

How it Works

You upload a trade file, credit curve file and collateral file into the triCalculate engine. triCalculate produces two runs, one including the collateral file, and one without it. Results are presented in our usual, easy to understand GUI.

These simple steps will calculate the numbers you need to be able to assess this impact:

  1. Either use an existing batch or set up a new one in the “Batches” page of triCalculate.
  2. Upload your trade, credit curve and collateral file as usual in the “Files” page.
  3. Use the “Run Batch” page to select your trade, credit curve and collateral file, then start a run.
  4. Repeat step 3) but don’t select your collateral file this time – remember you can name runs here to differentiate between the one with a collateral file and the one without the collateral file.
  5. Both sets of calculations will run as usual and be displayed in the “Results” tab. You can use the “Batch” drop down to compare the two runs or download to Excel if you prefer to view results in a spreadsheet.

Questions

If you have any questions about triCalculate, or would like assistance viewing, understanding or analysing your XVA results and calculations please contact us via email at info@trioptima.com or speak to your local office.