Accounting change threatens structured note DVA hedges
Issuers of structured notes that hedge their own credit risk by selling CDSs or holding financial bonds face protracted conversations with their auditors about whether the practice is legitimate under new accounting rules
When the US accounting standard setter announced in December that it would follow its international counterpart and shift the gains and losses from banks' own credit spread movements – known as debit valuation adjustment (DVA) – out of the earnings statement, dealers rejoiced. For years, they had argued this figure caused artificial volatility in their profit and loss (P&L) reports.
But amid the
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