  We introduce Climate Change Valuation Adjustment (CCVA) to capture climate
change impacts on CVA+FVA that are currently invisible assuming typical market
practice. To discuss such impacts on CVA+FVA 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 transient 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 CVA+FVA impacts on interest rate swaps of 20 years or more
maturity. Transformation effects on CVA+FVA are strongly dependent on timing
and duration of business model transformation. Using a parameterized approach
enables discussion with stakeholders of economic impacts on CVA+FVA, whatever
the details behind the climate impact.
