Fair value
Fair-value losses shave 50bp off HSBC’s CET1 ratio
Further buybacks in the latter part of 2022 unlikely as core ratio falls close to bank’s own guidance
Fair-value losses derail payout plans at State Street, BNY
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
Funds forced to estimate value of Russian securities
Western asset managers can sell Russian shares from April 1. But they have to value them by March 31
GM Financial’s derivatives fall 72% in value in 2021
A steeper forward interest rate curve paired with an appreciating dollar erased most of the gains booked by the carmaker’s lending arm in 2020
Sec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
OTC derivatives amount rose 5% in H1
While notional amounts were up from end-2020, gross market values fell 20% across all instruments tracked by the BIS
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
EU stress tests: BNP Paribas would bear brunt of trading losses
Losses from held-for-trading balance sheet would wipe out fair value book gains
BofA grows securities book, but shuns US Treasuries
The bank adds $78.7bn in Q2, mostly in the held-to-maturity book
Eurozone banks add €10bn of Level 3 assets in Q1
First quarterly increase in mark-to-model assets post-pandemic
Hedging valuation adjustment gets cold shoulder from banks
Dealers back the idea of charging for hedging costs but not as part of a new XVA
OTC derivatives values surge 36% in 2020
Foreign exchange derivatives were largely responsible for the overall increase in fair values in the second half of last year
Jarrow and co find a better way to spot stock market bubbles
Quant team’s options-based approach avoids pitfalls of historical data dependence
BofA kept up bond binge in Q1
Bank added $172bn of debt securities to portfolio over first three months of the year
Level 3 assets at US banks grew 13% in 2020
Citi posted an 100% increase over the year to $16.1 billion
How XVAs hit top US banks’ trading revenues in 2020
JP Morgan led systemic banks on losses due to valuation adjustments
Korea lifers set to increase hedging as accounting shake-up looms
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
BofA doubled held-to-maturity book in 2020
The bank moved mortgage bonds into HTM throughout the year
Systemic US banks shifted assets to buy-to-hold pens in Q3
JP Morgan almost doubled its held-to-maturity portfolio last quarter
At UniCredit, XVAs amped trading gains in Q3
Italian bank claimed a €110 million benefit to earnings from valuation adjustments
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
Fair valuations – Change for good?
The regulatory framework governing fair valuation practices in the US hasn’t undergone any substantial change for the best part of a decade. Now, thanks to a recently proposed rule by the US Securities and Exchange Commission (SEC), that is all about to…
UK banks took £2bn of loan-loss provisions in Q3
Barclays and HSBC increased reserves the most out of the top lenders