Fair value
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
Japan’s megabanks begin pricing in CVA
Local firms align with foreign dealers to include counterparty credit risk in corporate swap quotes
OTC derivatives amounts sank in H2 2018
Fair values down 6% over second half of 2018, 72% from peak
Berkshire Hathaway dinged $300m by equity index options
Derivatives have netted conglomerate $2.2 billion in gains since 2004
Lifetime achievement award: Craig Broderick
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world
Korean insurers shun structured notes ahead of IFRS 9
Prospect of earnings volatility blamed as big buyers of notes turn to less exotic assets
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
Japanese banks eye phased CVA introduction
Working group reports “growing need” for valuation adjustment but cherry-picking fears persist
All MVA needs is a first-mover
Fair value adjustment for initial margin should be reflected in accounting statement
Accounting – a quant's job?
Quants have a new interest - developing accounting frameworks
New research shows FVA is not part of P&L – Duffie
Pricing experts defend practices that resulted in huge FVA losses
Market pricing of credit linked notes: the influence of the financial crisis
This paper analyzes whether the financial crisis of 2007–9 had an effect on the mispricing of CLNs.
Banks split on accounting for KVA – Risk survey
Accounting standard is coming, say some - others see no KVA requirement
UBS takes Sfr267 million FVA charge
Swiss bank takes FVA charge and removes DVA double-count
The death of an accounting dream
IASB and FASB have failed to bring standards together, stakeholders say
Fair value accounting's blind spot
Market prices ignore time-to-liquidation, says David Rowe
IASB: Liquidity buffers seek a safe home
Fair-value friend