JP Morgan takes $1.5 billion FVA loss
The US bank announces a one-off FVA primarily due to uncollateralised derivatives receivables
JP Morgan has recorded a $1.5 billion loss arising from the implementation of a funding valuation adjustment (FVA) framework to its over-the-counter derivatives and structured notes books. This is understood to have been calculated using a funding spread of Libor plus 50 basis points.
In its fourth-quarter 2013 earnings results, released today, the US bank disclosed that the FVA was a one-time adjustment to the current portfolio, and is primarily related to uncollateralised receivables – the
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