NatWest’s plan to put the XVA into RFQs

Bank to launch approximation tool on its electronic pricing framework for FX forwards

Credit: montage

Imagine you’re an FX salesperson at a mid-tier bank who’s just received a request for a quote on a one-year sterling-dollar forward swap. You start to model the valuation adjustments (XVAs) for the derivative using a Monte Carlo engine, and then have to wait anything between a couple of minutes and several hours for the outcome.

However, as the decision tree of what might happen over the lifetime of the trade is conducted on central processing units, the markets move materially. You have to

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