About a-team Marketing Services
The knowledge platform for the financial technology industry
The knowledge platform for the financial technology industry

A-Team Insight Blogs

Numerix Offers Early Solution for Funding Value Adjustment

Subscribe to our newsletter

Numerix has added a universal framework for funding value adjustment (FVA) calculations to the risk module of its CrossAsset pricing and risk analytics suite. The solution is aimed at helping firms calculate accurate FVA and identify the true profit and loss of OTC derivatives operations.

The Numerix implementation is among the first to support computation of the FVA calculation for arbitrary instrument types at both the trade and portfolio levels, and is initially expected to support banks and insurance companies with large positions and a concomitant requirement to understand funding risk.

There is no market consensus on how to report FVA or which funding rate to use, making the expense of funding difficult to manage. Satyam Kancharla, chief strategy officer and senior vice president at Numerix, says: “It is imperative that banks understand FVA, how it is calculated and the associated costs so they can make the best trading decisions for their business in terms of profitability.”

To date, many banks have been making their own calculations of FVA for specific products, but Numerix has built a universal solution covering a wide set of financial products and offering a quantitative way to identify the effects of funding on prices.

According to Steven O’Hanlon, CEO of Numerix, “As banks come to terms with the true cost of funding collateral and the significant role it plays in overall profitability, the Numerix approach gives users the tools and flexibility to apply FVA in a way that suits their specific needs and methodologies. With Numerix, institutions can not only measure and account for funding cost, but also more effectively manage how it could change over time due to a bank’s own credit quality. Ultimately, they can capture its impact on profit and loss.”

The Numerix FVA component is available immediately as part of the subscription to the risk module of CrossAsset and has been developed with Numerix’s sell-side and buy-side customers, some of which have moved into production. Kancharla says large firms are leading the way on FVA adoption, but more are following in a market where decisions on trades made solely on price quotes can be a bad move.

Subscribe to our newsletter

Related content

WEBINAR

Upcoming Webinar: Are you making the most of the business-critical structured data stored in your mainframes?

17 June 2025 10:00am ET | 3:00pm London | 4:00pm CET Duration: 50 Minutes Fewer than 30% of companies think that they can fully tap into their mainframe data even though complete, accurate and real-time data is key to business decision-making, compliance, modernisation and innovation. For many in financial markets, integrating data across the enterprise...

BLOG

Snowflake Bets it can Bring the Promise of AI to Wary Organisations

Snowflake has rooted its offerings more deeply in artificial intelligence, betting that its data cloud platform can deliver the promise of the technology at a time when many organisations are reappraising their approach to AI implementation. Among a flurry of new service announcements made at the end of last year, Snowflake unveiled plans to launch...

EVENT

Data Management Summit London

Now in its 16th year, the Data Management Summit (DMS) in London brings together the European capital markets enterprise data management community, to explore how data strategy is evolving to drive business outcomes and speed to market in changing times.

GUIDE

AI in Capital Markets: Practical Insight for a Transforming Industry – Free Handbook

AI is no longer on the horizon – it’s embedded in the infrastructure of modern capital markets. But separating real impact from inflated promises requires a grounded, practical understanding. The AI in Capital Markets Handbook 2025 provides exactly that. Designed for data-driven professionals across the trade life-cycle, compliance, infrastructure, and strategy, this handbook goes beyond...