Singapore banks begin to phase in XVA
DBS, OCBC and UOB start using valuation adjustments, but face hedging hurdles for CVA
Singapore’s three largest commercial banks are starting to manage and even price the funding, credit risk and regulatory capital costs of new derivatives trades – a change the lenders hope will ease their growing regulatory capital burden.
DBS, OCBC and UOB are at different stages of setting up desks to manage derivatives valuation adjustments, known as XVAs, and incorporate them into pricing. The banks are aiming to reduce the amount of capital they need to hold against derivatives
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