Valuation Services > Portfolio ValuationsCredit Valuation Adjustment Calculation Service

Markit provides a hosted credit value adjustment (CVA) calculation service that combines our extensive, independent CDS data, hosted valuations platform and risk simulation engine for OTC derivatives.

Customers

  • Auditors
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  • Corporates
  • |
  • Fund administrators and custodians
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  • Fund managers
  • |
  • Regional banks

Statistics

  • 1.9m+daily CDS quotes
  • 2,600CDS entities
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Product summary

International accounting standard IFRS 13 requires the reporting of CVA and debit value adjustment (DVA) when determining the fair value of OTC derivatives. Auditors and regulators are now increasing scrutiny of the accuracy and robustness of CVA and DVA calculation assumptions, methodologies and input market data.

Simplified, present value-based approaches and historically estimated default probabilities are not consistent with IFRS 13 principles.

Current industry best practices recommend simulation-based approaches and market-implied default probabilities from counterparty CDS curves.

Markit offers a hosted, end-to-end CVA calculation solution. It encompasses market data sourcing, cleaning and storage as well as the estimation of market-implied credit curves for illiquid counterparties, an analytics library of calibrated pricing models and a risk simulation engine. Flexible workflow and configuration tools allow for customisation to specific requirements.

    Key Benefits

    • Extensive CDS data

      Broad coverage for consensus-based CDS curves for liquid counterparties, and a robust framework for market-implied CDS curves for illiquid counterparties

    • Cross-asset coverage

      Supports broad range of vanilla and exotic instruments across asset classes

    • Efficient onboarding and report turnaround

      Rapid onboarding of new customer portfolios by experienced analysts, resulting in production-quality reports within weeks, while existing customers can quickly obtain CVA reports by supplementing trade uploads with counterparty information

    • Risk simulation engine

      CVA calculations run on our Markit Analytics market and credit risk simulation engine, which has been deployed by global banks to calculate CVA

    • Data integrity

      Consistent market data, pricing and calibration methodologies used for valuations and CVA calculations