XVA Adjustments can be made to derivative trades. What the costs associated with the following transaction and

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XVA Adjustments can be made to derivative trades. What the costs associated with the following transaction and If these costswere assessed and included in the price the counterparty paid do you think they are pure profit? Why?

Face Value ofA$150m
Term 10 years, no amortisation
Client Pays Fixed Rate at market, receives BBSW
Corporate counterparty, uncollateralised.
No other deals with the counterparty
Product AUD Interest Rate Swap

Posted Date: May 20, 2024 03:04 AM

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XVA Adjustments can be made to derivative trades. What the costs associated with the following transaction and

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