Fair value
How XVAs hit top US banks’ trading revenues in 2020
JP Morgan led systemic banks on losses due to valuation adjustments
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
BofA doubled held-to-maturity book in 2020
The bank moved mortgage bonds into HTM throughout the year
Systemic US banks shifted assets to buy-to-hold pens in Q3
JP Morgan almost doubled its held-to-maturity portfolio last quarter
At UniCredit, XVAs amped trading gains in Q3
Italian bank claimed a €110 million benefit to earnings from valuation adjustments
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
Fair valuations – Change for good?
The regulatory framework governing fair valuation practices in the US hasn’t undergone any substantial change for the best part of a decade. Now, thanks to a recently proposed rule by the US Securities and Exchange Commission (SEC), that is all about to…
UK banks took £2bn of loan-loss provisions in Q3
Barclays and HSBC increased reserves the most out of the top lenders
Seeking capital savings, JP Morgan shifts assets to holding pen
Transfer of assets to HTM portfolio could reduce stress capital buffer in future
Level 3 assets fell at top US banks in Q2
Mark-to-model instruments disclosed by banks over $100 billion in size contracted 4%
Hard-to-value assets fell at EU banks in Q2
Level 3 derivatives assets fall 14% quarter-on-quarter
OTC swaps exposures of systemic US banks fell back in Q2
Aggregate current credit exposures to hedge funds falls 42% quarter on quarter
Berkshire Hathaway’s put option liabilities climb
Fair value liability climbed to $1.6 billion at end-June
Commerzbank takes €111m of XVA losses in H1
Valuation adjustment benefits gained in Q2 did not offset huge Q1 losses
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