Quaternion-UBS Delta Collaborate on CVA Front

Quaternion-UBS Delta alliance will help clients calculate CVA and DVA measures.

Dublin-based Quaternion's risk engine and analytics have been integrated into UBS Delta to provide a CVA service.

Quaternion Risk Management, the Dublin-based provider of risk management technology and services, and UBS Delta have entered an alliance to provide counterparty exposure, credit valuation adjustment/debt value adjustment (CVA/DVA) analytics, and reporting services to capital markets firms.

Quaternion's risk engine and analytics have been integrated into UBS Delta to provide the CVA service. Derivative portfolios, whether collateralised or not, contain embedded counterparty risk. CVA, an adjustment made on the valuation of an OTC derivative transaction to accurately reflect the credit risk of the derivative counterparty, and DVA, an accounting valuation methodology that helps firms manage changes to the price (value) of fixed-income securities they have issued, are required under new banking regulations (Basel III), and, since January 2013, international accounting standards (IFRS 13). Any company reporting accounts under IFRS is required to account for CVA/DVA for reporting periods starting after January 2013.

"Our core clients ─ asset managers, insurers, corporates and pensions schemes ─ have historically not required counterparty exposure profiles or CVA/DVA analytics," says Dermot Shortt, global head of UBS Delta. "They now face increasing requirements of regulators and accounting standards (such as IFRS 13) and we are excited to have extended our core risk offering to include calculation of such analytics, through this partnership with Quaternion, which has significant experience in this area. Our clients are already uploading their OTC derivatives onto our platform, and with the additional upload of netting set/CSA details, they will be able to make use of this additional analytic suite."

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