Fair value
Prudential filters crimp some banks’ own funds, boost others
Two banks saw CET1 climb more than 5% at end-2019 through the EU’s valuation adjustments
French, UK banks have largest trading portfolios in Europe
Fair value and HFT assets concentrated among biggest banks
Mark-to-model assets surge at top US banks in Q1
Level 3 instruments hit an aggregate $137 billion among banks over $100 billion in size
Hard-to-value assets abound at Nordic banks
Level 3 assets make up 25% of Norwegian firms’ fair value portfolios
Greek, Italian banks lead EU on IFRS 9 capital relief
Intesa Sanpaolo saw CET1 capital add-in of €2.6 billion
Structured product losses weigh on Canadian G-Sibs
CDOs held by RBC lose C$369 million over three months
At systemic US banks, CLO holdings dip
Wells Fargo sees 15% sliced off the value of its portfolio
Commerz tags €5bn of CLOs as hard-to-value
Buyers’ strike makes mark-to-market pricing impossible for structured credit
ING hit by €92m XVA loss
Credit trading business tagged for trading losses
Crédit Agricole, Natixis, UniCredit pummelled by XVA losses
Top banks take combined €207 million hit from valuation adjustments
NatWest Markets’ CVA reserve swells £136m
Funding benefit and debit valuation adjustment help offset derivatives charge
XVAs take $346m bite out of HSBC’s trading profits
Derivatives valuation adjustment impact pushes trading profits down 49%
US regional banks put $18bn aside for credit losses in Q1
Huntington, Citizens, Truist saw provisions increase over 400% on Q4 2019
Credit Suisse takes $51m derivatives hedging loss
Net trading revenues down 47% on year-ago quarter
Bank of America shifts mortgage bonds into holding pen
By cutting available-for-sale assets, bank should avoid equity volatility
Derivatives expand share of EU bank assets in Q3
Valuation effects likely behind consecutive quarter increases in these instruments’ portfolio share
SocGen leads EU banks on trading asset gains – EBA
Almost three-quarters of H1 2019 income came from gains on trading assets at French bank
Sandbar's focus on idiosyncratic factors sets it apart from its peers in equity market‑neutral
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
IFRS 9 capital relief saves Lloyds £768m
Phase-in measures ameliorate CET1 hit of higher loan-loss provisions
OTC derivatives amounts surge 18% in H1 2019
Interest rate products alone see notionals increase to $523.9 trillion
Best CVA practices in Japan
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…
Large banks set for capital boost through Fed’s AOCI opt-out
Unrealised losses on certain assets will not longer filter in CET1 capital for non-systemic lenders
Buy-to-hold inventories empty at US banks
Mid-sized lenders have trimmed held-to-maturity portfolios the most
Fed stress test AOCI wallop softens in 2019
Fourteen participants see projected capital drain due to unrealised losses drop 63% year-on-year