JPM » Topics » CVA sensitivities: CVA increases as deals become more in the money and as counterparty credit spreads widen

This excerpt taken from the JPM 8-K filed Feb 27, 2009.

CVA sensitivities: CVA increases as deals become more in the money and as counterparty credit spreads widen

DERIVATIVES AT JPM

 

 

CVA Example with an A+ Rated Counterparty ($ in millions)

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Client positions

 

   

Client trades did not change Dec 07 to Dec 08

 

   

2 USD interest rate swaps, one 5 yr and one 8 yr

 

 

The large increase in CVA, in this case, is mostly driven by the large credit spread widening

 

1

5 year CDS spread

 

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