Mizuho reveals $270 million CVA loss
Further losses may be reported as bank refines its methodology, sources say
Mizuho is one of three Japanese megabanks that have been planning to report CVA
Mizuho Group will book a ¥30 billion ($270 million) loss, in what could be the first in a string of write-downs from Japan’s largest banks as they start reflecting the market value of counterparty risk in their derivatives portfolios. Big banks in Europe and the US have been incorporating this so-called credit valuation adjustment (CVA) in their accounts for years.
The loss is part of a wider ¥680 billion write-down announced in a March 6 profit warning, which Mizuho attributed to a mix of
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