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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
  1. Left: XVA values and standard relative errors (SE). Right: Respective impacts when Swaps 5 and 9 are added to the portfolio last