Table 2 Toy portfolio
From: Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
$Value | SE | Swap 5 | Swap 9 | ||
|---|---|---|---|---|---|
CVA0 | 471.23 | 0.46% | ΔCVA0 | 155.46 | −27.17 |
FVA\(_{0}^{(0)}\) | 73.87 | 1.06% | \(\Delta \text {FVA}_{0}^{(0)}\) | −85.28 | −8.81 |
FVA0 | 3.87 | 4.3% | ΔFVA0 | −80.13 | −5.80 |
KVA0 | 668.83 | N/A | ΔKVA0 | 127.54 | −52.85 |
FTDCVA0 | 372.22 | 0.46% | ΔFTDCVA0 | 98.49 | −23.83 |
FTDDVA0 | 335.94 | 0.51% | ΔFTDDVA0 | 122.91 | −80.13 |