Edouard Nguyen, former head of the dealing room at Paris-based corporate Veolia and now head of the corporates and treasuries practice at consulting firm Axis Alternatives, says the XVAs being charged to a corporate, mainly reflecting its counterparty credit risk and cost of funding to the bank, has shrunk by around 30% in a year. “One year ago… XVAs for a 10-year interest rate swap fixed-rate receiver for a corporate like Veolia – rated BBB by S&P – ranged from 6.5–7bp running. More recent quotes show the prices have narrowed significantly. In the example of a BBB corporate, current quotes show XVAs around 4.5–5bp for the same swap,” he adds.

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