Confidently integrate XVAs and execute complex deals at the right price
Numerix Oneview for XVA is a comprehensive cloud-native, SaaS XVA solution that empowers users to confidently manage counterparty risk exposures, seamlessly integrate XVAs into deal pricing, and execute complex transactions at the right price. It delivers precise trade-level exposure calculations and collateral projections for reliable pre and post-margin PFE and xVA results. Featuring a robust data model, it captures intricate counterparty relationships, supports customizable CSAs terms, and implements tailored collateral accrual and funding logic to help users effectively compete and win business in fast moving markets.
Capabilities
Next-generation technology
Oneview for XVA, with its cloud-native, serverless architecture and SaaS operation model supported by Numerix’s experts, ensures enhanced performance, scalability, and operational efficiency. This next-generation technology guarantees unmatched accuracy, real-time calculations, and dynamic reporting, empowering XVA desks with a competitive edge in the market.
Industry-leading XVA analytics
Oneview for XVA leverages the industry's most comprehensive pricing and risk analytic library in OTC derivatives and structured products and supports a wide range of XVA measures, including with trade-level back allocation.
Robust risk management capabilities
Oneview for XVA provides real-time counterparty risk measures such as PFE, EE, CE, ENE, and EPE for fast trading and risk decisions. It calculates XVA sensitivities, cross-Greeks, and ladder reports for hedging purposes, and optimizes performance using algorithmic differentiation for XVA Greeks. Additionally, it supports a rich CSA/counterparty hierarchy and CSA scripting to handle the most complex CSAs.
Accurate XVA insights for optimal trade execution
Oneview for XVA's pre-deal decision support tools deliver standalone, incremental, and marginal XVAs and exposures prior to trade execution. This is bolstered by a high-performance calculation engine and Numerix's superior pricing and risk analytics, ensuring uncompromising accuracy across all XVA measures. Additionally, it facilitates what-if trades and cheapest-to-trade analytics for optimal portfolio management, provides insights into a trade’s impact on regulatory capital for SA-CCR and Basel III SA-CVA, and maintains an up-to-date exposure baseline that includes intraday trades for consistent and accurate risk management.
Real-time and dynamic reporting
Enables customizable risk reports and powerful visualizations in real-time, supporting regulatory compliance including SA-CCR and Basel III SA-CVA for consistent and accurate regulatory capital calculations.
Numerix honored with
Innovation in xVA Analytics award in the 2024 Chartis STORM QuantTech50
Capital markets awards that speak for themselves
Product factsheet
Oneview for XVA
Discover how Numerix Oneview for XVA streamlines counterparty risk management and XVA integration.
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FAQs
Q1: What is XVA and why does it matter for derivatives trading?
XVA is the collective term for valuation adjustments applied to OTC derivatives to reflect counterparty credit risk, funding costs, and regulatory capital charges. The components are CVA (Credit Valuation Adjustment), DVA (Debit Valuation Adjustment), FVA (Funding Valuation Adjustment), MVA (Margin Valuation Adjustment), and KVA (Capital Valuation Adjustment). Accurate XVA calculation is required for IFRS 13 fair value reporting, Basel III regulatory capital, SA-CCR exposure, and trade-level P&L attribution. Numerix Oneview for XVA computes the full stack in real time across multi-asset portfolios.
Q2: What is the difference between CVA and XVA?
CVA is the market value of counterparty default risk in a derivatives portfolio — the expected loss if the counterparty fails. XVA is the broader framework encompassing CVA plus DVA (own-default risk), FVA (funding cost), MVA (initial margin cost under UMR), and KVA (regulatory capital cost). Banks report CVA under IFRS 13 and hold capital against it under Basel III. XVA desks manage the full adjustment stack as a unified P&L center. Oneview computes all five components from a single integrated engine.
Q3: How does SA-CCR affect XVA calculation?
SA-CCR (Standardized Approach for Counterparty Credit Risk) measures Exposure at Default for OTC derivatives using Replacement Cost plus a Potential Future Exposure add-on. SA-CCR exposure feeds directly into the CVA capital charge under Basel III and is required under CRR2/CRR3 and the US Basel III final rule. Numerix Oneview integrates SA-CCR natively into the XVA engine, producing regulatory capital figures alongside fair value adjustments in a single workflow.
Q4: Does Oneview for XVA support FRTB requirements?
Yes. Oneview produces delta, vega, and curvature sensitivity outputs required for the FRTB Sensitivity-Based Approach for CVA capital. For firms using BA-CVA or IMA approaches, Oneview provides the underlying risk factor sensitivities and scenario P&Ls that feed into capital calculations, aligned with FRTB implementation timelines across jurisdictions.
Q5: What types of derivatives does Oneview for XVA support?
Oneview computes XVA across all major OTC asset classes: interest rate swaps (IRS, OIS, CMS), cross-currency swaps, inflation derivatives, FX forwards and options, equity derivatives including variance swaps and TRS, credit default swaps, commodity derivatives, and complex structured products including autocallables, CLNs, and multi-asset hybrids. Both bilateral and cleared portfolios are supported.