how to calculate FVA for a portfolio

10063 · June 17th, 2013, 2:52 pm

Hi,I am a bit lost how to calculate a FVA for a portfolio. My EPE (Expected Positive Exposure) curve is showing that my swap portfolio with a counterparty would on my favour EUR20m? in year 2023. So, if my funding spread in 10 year maturity is 100bps should I use that for FVA? Couldn't I just argue that I can fund the collateral with shorter funding than 10 years and then the funding spread should be a lot lower? br,jack

APlus · June 19th, 2013, 12:52 pm

Have you had a look at the Antonio Castagna: "Yes, FVA is a Cost for Derivatives Desk"?PS:His papers seem to generally give not only logical explanations and examples, but sometimes there is a welcomed dose of humour