Japan banks face huge CVA hit, dealers say
Revaluation of derivatives books likely to cause hundreds of millions in one-off losses
Three Japanese megabanks are expected to start reflecting the market value of counterparty risk in their derivatives portfolios for the first time in the next round of financial results, a change in the banks’ pricing methodologies that could result in sizable revaluation losses.
Experts believe the losses could be on a similar scale to the $712 million hit to Standard Chartered in 2016, which followed revisions to the way the bank reports its credit valuation adjustment (CVA).
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