Fair value
UBS halved Level 3 assets in 2024
Mark-to-model assets had swelled after the Credit Suisse takeover
Surging gross repo costs highlight US dealers’ divergence on netting
Lack of offsetting in GAAP presentation leads BNY and Northern Trust to report paying double- or triple-digit rates on fed funds, repos
AmEx derivatives book grows on interest rate swap surge
Receive-fixed swaps dominate hedging portfolio as clearing rate spikes
JPM’s AFS holdings surge $72bn amid doubling unrealised losses
AOCI falls to its lowest in a year despite rate cuts
US banks return to MBSs amid value recovery
Bank of America and Wells Fargo ramp up AFS holdings in the third quarter
Fed’s new liquidity rule spells more pain for regional banks
Limit on HTM assets follows move to deduct unrealised losses from capital buffers
EU dealers added €38bn of Level 3 assets in 2023
Groupe BPCE, DZ Bank led accumulation of mark-to-model instruments
BNPP transfers €8bn of liabilities to Level 3
Revision in level-setting responsible for biggest net transfer in at least eight years
AFS securities sale costs Truist $6.8bn
Purge of investment securities marks largest single-quarter loss by a US bank in 10 years
JP Morgan sails through DFAST with 200% AOCI reversal
Only major dealer to turn mark-to-market losses into gain in simulated recession
Trading and AFS securities hit record high at US G-Sibs
Rebounding fair values and appetite for trading inflate indicator used in annual G-Sib assessment
BofA, JPM hoover up $104bn of US Treasuries in Q1
As Fed’s first rate cut nears, banks revamp their AFS holdings
Norinchukin’s paper losses double to record high
Latest AOCI fluctuation knocks 29% off CET1 capital
DVAs inflate US banks’ liabilities by $4.9bn
Credit spread retrenchment since last year’s crisis comes with flipside of larger structured-product liabilities
Republic First’s securities portfolio lost over $400m in 2024
Fair-value losses on non-agency RMBS holdings accelerated as rate cut expectations dimmed
Northern Trust buys $2.4bn of US Treasuries as rate-cut prospects rise
Additions to the 5–10 year portion of AFS book have been, for now, swapped to SOFR
BTFP shutters with loans at near-record high
Program saw last-minute $3bn dash for loans in final three days of operation
US banks rejig securities to cut mark-to-market losses
Fifth Third leads charge with $12.6bn transfer from AFS to HTM pen
EBA seeks to tighten up uneven prudent value adjustments
Regulator to consult ‘soon’ on changes to improve consistency of capital deductions
At US banks, paper losses on HTM securities hit new high
Bank of America leads way as mortgage-backed securities drive aggregate rise in Q3
Bank of America refills AFS book with T-Bills
Bank makes head start on peers in reshaping battered fair-value investments