Level 3 assets
How Deutsche shrank its systemic footprint
Total exposures have fallen one-third since 2013
Top banks defer €1.6bn of profits on hard-to-value trades in H1
BNP Paribas set aside €532 million alone in H1
Rising Level 3 assets threaten bank profits
Dealers are relying on in-house models to value large amounts of complex structured products
BNP tags €10bn of equity derivatives as hard-to-value
Over 12% of exposures classified as Level 3 at end-June
Valuation risks fell at UBS in Q2
Swiss lender is sitting on $8.1 billion of Level 3 assets
Mark-to-model assets spiked at eurozone banks in Q1
Level 3 derivatives assets increased 52% quarter-on-quarter
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
Commerz tags €5bn of CLOs as hard-to-value
Buyers’ strike makes mark-to-market pricing impossible for structured credit
Natixis defers €120 million of trade profits in H1
French bank builds valuation reserve by 41% year-on-year
Big EU banks’ Level 3 assets up 25% in 2018
Hard-to-value assets rise €35 billion year-on-year
Barclays, HSBC, StanChart saw Level 3 assets rise 10% in 2018
Transition to IFRS 9 may be behind the increase
Level 3 assets at eurozone G-Sibs swell to €82bn in 2018
IFRS 9 likely contributor to first increase in Level 3 inventories since 2014
Citi, Goldman, State Street add $685m of complex assets
Private equity, asset-backed security and loan holdings drive increase in Level 3 instruments
Goldman, Wells Fargo grew hard-to-value assets in 2018
In contrast, the other six US G-Sibs slashed $4.4 billion of Level 3 assets on aggregate
Global banks shrink systemic footprint
The big banks trimmed total leverage exposure by €2.9 trillion (4%) in 2017
Swap books swell at big US banks despite lower risk profile
Total OTC derivatives notional among the eight banks is $222 trillion – a 2% increase on the quarter
Big European and US banks cut $280bn of complex assets
G-Sib methodologies incentivise shift to simpler assets
New risk data signals lower EU G-Sib scores
Aggregate 20% drop in Level 3 assets and 7% decrease in intra-financial system liabilities reported in 2017
Totem poll: users of Markit service call for change
Libor-like consensus methodology creates bad incentives, clients fear
FCA's Annex IV reporting system back up and running
Regulator will be lenient on latecomers as glitches resolved
Basel 2.5 prompts flurry of asset sales and risk transfer deals
The profits of imbalance
Level 3 committees respond to Commission
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