CoachThe incremental XVA of a new trade is the change in the netting set’s (or the portfolio’s) adjustments when the trade is added: . It is what the trade costs the bank, and it can be negative when the trade offsets existing exposure.
Exemplos
Example 20.3 (Two new swaps in one netting set)
Chapter 17’s netting set with chapter 18’s counterparty has a CVA of USD 891 342. A new five-year USD 50 million swap on which the bank pays fixed has a standalone CVA of 37 061, but adding it lowers the set’s CVA to 869 582: its incremental CVA is , a rebate. The same swap with the bank receiving fixed has a standalone CVA of 30 742 and an incremental CVA of .