Fair value accounting
US banks shuffle structured product portfolios
Investments classified as available-for-sale drop $8.7 billion across six largest dealers
US banks cut available-for-sale portfolios
Securities classifications have shifted materially since AOCI filters were removed in 2014
Commerzbank cuts loan charges in wake of IFRS 9
German lender posts “risk result” – costs associated with changes to loan-loss provisions and remeasurement of assets – of €77 million in March
BP net derivative assets top $1.5 billion
Hedging instruments fair values rise while oil prices surge
Ford reports $204 million derivatives charge
Foreign exchange and commodity contracts fall in value
US hedge accounting changes could spur small bank swaps boom
Banks eye opportunities to claim hedge accounting treatment for fixed-rate portfolios and callable debt
Insurers’ losses shine light on swaps accounting
FASB seeking to iron out swaps mismatches that hit MetLife, Manulife and others
Three Japanese banks consider new CVA approach
Industry working group formed to discuss introducing accounting adjustment
Stress testing under IFRS 9: a field guide
Higher volatility of loan loss provisioning will complicate financial planning and hit capital
XVAs: a gap between theory and practice
Hull and White see splits on FVA, MVA, KVA as irreconcilable
Banks shun internal models in CVA impact study
Accounting exposures win out as banks seek to align capital with front-office practice
Noble Group challenged over mark-to-market accounting
Mysterious critic calls trader's long-dated contract valuations into question
Citi takes $474 million FVA charge
US bank becomes tenth to incorporate effects of funding
Prudent valuation vs confidence accounting
Accounts shouldn't pretend valuations are exact - but how best to fix the problem?
Nomura books ¥10 billion FVA loss
Japanese bank follows JP Morgan and Deutsche Bank by incorporating funding costs into derivatives valuation
Quant Congress Europe: No consensus on FVA accounting
Industry undecided on whether own cost of funds or an industry average funding spread should be used
The black art of FVA: Banks spark double-counting fears
Dealers broadly agree that funding costs and benefits should be priced into uncollateralised trades, and some banks have started recognising this in their financial statements. But there is no standard practice, and there are fears of double-counting. By…
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
Impact-adjusted valuation and the criticality of leverage
DVA: a 'shameful scam'
DVA: a ‘shameful scam’
Risk Annual Summit: CVA rethink needed, says HSBC risk specialist
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
Basel DVA capital deduction could cost banks billions
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA - with US banks hardest hit
