Independent calculation of CVA, DVA, FVA, XVA, KVA and MVA for OTC derivatives and structured products — compliant with IFRS 13, IFRS 7 and ASC 820. Audit-ready. Globally trusted.
IFRS 13IFRS 7ASC 820IPSAS 41CVA · DVA · FVAXVA · KVA · MVA
Under IFRS 13 and ASC 820, fair value measurements must reflect the assumptions of market participants — including counterparty credit risk and own non-performance risk. This means every OTC derivative valuation must incorporate credit and funding valuation adjustments. Ignoring them produces a materially incorrect fair value.
Shasat's Valuation Desk specialises in the calculation of the full spectrum of valuation adjustments — CVA, DVA, FVA, XVA, KVA and MVA — for corporates, financial institutions, treasuries and fund managers. Our calculations use market-standard models, real counterparty credit data and current market inputs, producing reports structured for audit sign-off.
The scope of valuation adjustments has expanded significantly since 2008. Beyond the core CVA and DVA required by IFRS 13, institutions now routinely apply FVA to reflect funding costs, KVA to capture regulatory capital costs, and MVA to account for initial margin requirements under bilateral and centrally cleared arrangements.
Valuation adjustments
The Full XVA Framework
Shasat calculates each component of the XVA framework independently and in combination, ensuring full consistency with your portfolio's collateral arrangements, netting agreements and regulatory environment.
CVA
Credit Valuation Adjustment
The market value of the risk that a derivative counterparty defaults before contract maturity. Reduces the risk-free fair value of derivative assets. Required under IFRS 13 for all non-centrally cleared OTC derivatives.
IFRS 13 · ASC 820
DVA
Debit Valuation Adjustment
The fair value benefit reflecting the entity's own credit risk on derivative liabilities — the economic gain if the entity itself defaults. Required under IFRS 13 and IFRS 7 as non-performance risk on liabilities.
IFRS 13 · IFRS 7
FVA
Funding Valuation Adjustment
The cost or benefit of funding uncollateralised derivative positions. Reflects the difference between the rate at which an institution funds itself versus the risk-free rate. Standard market practice since 2008 and widely included in fair value reporting.
Market standard
KVA
Capital Valuation Adjustment
Reflects the ongoing cost of holding regulatory capital against a derivative exposure over its life. KVA has grown in importance under Basel III/IV as capital requirements for non-centrally cleared derivatives have increased materially.
Basel III/IV
MVA
Margin Valuation Adjustment
The cost of posting and financing initial margin under bilateral credit support annexes (CSAs) and central clearing requirements. MVA has become significant following the phased implementation of SIMM/UMR initial margin rules from 2016 onwards.
SIMM · UMR
XVA
Aggregate Valuation Adjustments
The collective term for all valuation adjustments applied to derivative fair values. Shasat calculates the full XVA stack — CVA, DVA, FVA, KVA and MVA — consistently across portfolios, with full netting and collateral agreement treatment.
Full framework
Regulatory framework
Standards That Require Credit Risk Adjustments
Credit risk and funding adjustments are not optional. Each of the following frameworks explicitly requires or recognises XVA adjustments in derivative fair value measurement.
IFRS 13
Fair value must reflect non-performance risk — mandating CVA on derivative assets and DVA on derivative liabilities for all entities reporting under IFRS.
IFRS 7
Requires qualitative and quantitative disclosure of credit risk exposure on financial instruments, including maximum credit exposure and credit risk concentrations.
ASC 820
The US GAAP fair value standard — substantially converged with IFRS 13 on non-performance risk. Requires CVA/DVA for entities reporting under US GAAP.
IPSAS 41
Public sector financial instrument standard aligned with IFRS 9. Central banks and government entities must apply fair value requirements including credit risk adjustments.
When you need us
Common Use Cases
Financial reporting — IFRS 13
Year-end and interim fair value of derivative portfolios with independent CVA/DVA for audit purposes.
Regulatory capital — Basel III/IV
CVA risk capital calculations and KVA for FRTB CVA desk compliance under Basel III/IV.
Counterparty risk management
Ongoing CVA monitoring for credit exposure limits, counterparty risk reporting and stress testing.
M&A and transaction pricing
Derivative portfolio valuation including full XVA for acquisition due diligence and SPA price adjustments.
ISDA CSA renegotiation
FVA and MVA analysis to quantify the economic impact of collateral threshold changes or CSA amendments.
Litigation and dispute support
Independent expert XVA opinions for derivative disputes, close-out valuations and legal proceedings.
FAQs
Common Questions
Credit Valuation Adjustment (CVA) is the market value of the risk that a derivative counterparty defaults before contract maturity. IFRS 13 paragraph 42 requires that fair value reflects the effect of credit risk — this means the risk-free value of a derivative asset must be reduced by CVA to arrive at the fair value a market participant would pay. Without CVA, the fair value is overstated and the financial statements are materially incorrect.
CVA is a downward adjustment to derivative assets reflecting the possibility that the counterparty defaults — it reduces your asset's value. DVA is the mirror image — an adjustment to derivative liabilities reflecting the possibility that your entity defaults, which represents an economic benefit (a reduction in liability fair value). Both are required under IFRS 13 to reflect non-performance risk comprehensively.
FVA is not explicitly mandated by IFRS 13 or ASC 820 in the same way CVA and DVA are, but it is widely included in practice by banks and financial institutions as part of fair value measurement for uncollateralised derivatives. The argument is that a market participant would price funding costs into a derivative transaction, making FVA consistent with the market participant framework of IFRS 13. Regulatory guidance and industry practice continue to evolve on this point.
Shasat calculates CVA using probability of default (PD) and loss given default (LGD) inputs derived from CDS spreads or credit market data where available, or through proxy methods for entities without observable credit market data. Exposure at default (EAD) is calculated using simulation or semi-analytical methods depending on portfolio complexity. All inputs are documented, market-referenced and structured for audit review.
Yes. While CVA and DVA are most commonly associated with banks, IFRS 13 applies to all entities holding OTC derivative positions. Corporates using interest rate swaps, cross-currency swaps or commodity derivatives for hedging purposes are required to include CVA and DVA in their fair value measurements. Shasat regularly supports corporate treasuries and non-financial institutions with straightforward, cost-effective XVA calculations tailored to smaller portfolios.
