  In March 2020, the world was thrown into financial distress. This manifested
itself in increased uncertainty in the financial markets. Many interest rates
collapsed, and funding spreads surged significantly, which increased due to the
market turmoil. In light of these events, it is essential to understand and
model Wrong-Way Risk (WWR) in a Funding Valuation Adjustment (FVA) context. WWR
may currently be absent from FVA calculations in banks' Valuation Adjustment
(xVA) engines. However, in this letter, we demonstrate that WWR effects are
non-negligible in FVA modelling from a risk-management perspective. We look at
the impact of various modelling choices, such as including the default times of
the relevant parties, as well as stochastic and deterministic funding spreads.
A case study is presented for interest rate derivatives.
