  We introduce Climate Change Valuation Adjustment (CCVA) to capture climate
change impacts on XVA that are currently invisible assuming typical market
practice. To discuss such impacts on XVA from changes to instantaneous hazard
rates we introduce a flexible and expressive parameterization to capture the
path of this impact to climate change endpoints, and transition effects.
Finally we provide quantification of examples of typical interest where there
is risk of economic stress from sea level change up to 2101, and from
transformations of business models. We find that even with the slowest possible
uniform approach to a climate change impact in 2101 there can still be
significant XVA impacts on interest rate swaps of 20 years or more maturity.
Transformation effects on XVA are strongly dependent on timing and duration of
business model transformation. Using a parameterized approach enables
discussion with stakeholders of economic impacts on XVA, whatever the details
behind the climate impact.
