Accounting
EU banks saw distressed loans heap up in Q4
‘Stage two’ assets make up 9.1% of banks’ total
IFRS 9 relief added £8bn to UK banks’ capital buffers in 2020
Lloyds’ CET1 ratio reaped a 120bp benefit
What lies beneath: Nomura’s iceberg balance sheet
Collateral received by the Japanese bank exceeds its total on-balance-sheet assets – does it matter?
UK banks count cost of EU software capital reversal
Average CET1 ratio would fall 29 basis points
XVAs ate $401m of JP Morgan’s revenues in 2020
Credit valuation adjustment on derivatives cost $337 million alone
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
Quants say they can fix value’s broken ratio
Price-to-book metric can be tailored to the new economy, researchers believe
Credit risk of EU state-backed loans deteriorated in Q3
Almost 5% of public guarantee scheme loans are designated ‘stage two’
Time for the next-generation investment book of record – Eidos
Calypso Technologies’ end-to-end Ibor, decision and order support (Eidos) is the only effective and efficient way to bring together suppliers and consumers of enterprise investment data
Systemic US banks shifted assets to buy-to-hold pens in Q3
JP Morgan almost doubled its held-to-maturity portfolio last quarter
Japanese generally accepted accounting principles – CVA accounting
In April 2021, Japanese generally accepted accounting principles (JGAAP) will incorporate credit valuation adjustment (CVA) and debt valuation adjustment pricing for derivatives portfolios. With several challenges left to overcome and the deadline…
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
Investors weigh merits of ESG hedging
Opinion divided over proposed tool for transferring risk of non-sustainable activities
IFRS 9 product of the year: AxiomSL
Asia Risk Technology Awards 2020
Systemic US banks put aside $5bn for credit losses in Q3
Citi put aside $2.3 billion in Q3, the most of the top lenders
Souring loans piled up at EU banks in Q2
Share of loans that have declined in creditworthiness made up 8.2% of lenders’ totals
Liquidity test clouds Ibor switch accounting rules
IFRS 9 update will lead to hedge accounting breakdown if new rates markets lack depth
Cliff effect might demand risk calculation agility until Libor cessation
Didier Loiseau, global head of rates, bonds and credit at Murex, examines the problems that originate from the spread calculation technicality stipulated by the new International Swaps and Derivatives Association Ibor fallback supplement, which…
IFRS 17 solutions provider of the year: Oracle Financial Services
Asia Risk Technology Awards 2020
EBA’s software compromise draws fire on two fronts
UK regulator suggests it will neuter the proposed capital relief, which banks say doesn’t go far enough
IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Risk-free rates may fail liquidity test for hedge accounting
Experts fear trades referencing SOFR and €STR will not be eligible for hedging relief
Deutsche insists Covid-19 won’t derail ‘bad bank’ wind-down
Lender actively seeking buyers for remaining derivatives portfolios ahead of 2022 target, says CRO
French, UK banks have largest trading portfolios in Europe
Fair value and HFT assets concentrated among biggest banks