Japan banks face huge CVA hit, dealers say
Revaluation of derivatives books likely to cause hundreds of millions in one-off losses
Three Japanese megabanks are expected to start reflecting the market value of counterparty risk in their derivatives portfolios for the first time in the next round of financial results, a change in the banks’ pricing methodologies that could result in sizable revaluation losses.
Experts believe the losses could be on a similar scale to the $712 million hit to Standard Chartered in 2016, which
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
AI could shrink trader roles – markets heads
DekaBank, BNPP AM see hedging, risk position management and bond markets as ripe for robots
Waiting for the light: what’s stalling European equity markets?
Esma says EU market has a structural problem, but the focus on lit vs dark trading overlooks post-trade issues
Market-makers give mixed verdict as CME Spot+ turns one
Traders encouraged by depth of liquidity despite wider spreads and passive performance qualms
Offshore CGB futures still wanted as onshore opens to QFIs
Cash-settled HKEX contracts still in demand despite easing of onshore access
Dollar smiles again, but for how long?
Twitchy investors backed the buck during Iran war, but experts are divided on whether this marks a return of the dollar smile
Vol control indexes rewire for V-shaped rebounds
Dealers aim to fix sluggish performance of indexes that underpin $130 billion-a-year FIA market
LSEG’s FXall to launch credit-intermediated FX forwards service
Split Risk to allow buy side to tap best spot and swap prices to create forwards, and unbundle market and credit risk
Markets perceive the future in very distorted ways
Discounting paradigms should adapt to be more realistic, says Jean-Philippe Bouchaud
