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Japan banks face huge CVA hit, dealers say
Revaluation of derivatives books likely to cause hundreds of millions in one-off losses
![The BoJ and the CCP basis The BoJ and the CCP basis](/sites/default/files/styles/landscape_750_463/public/2019-01/Japan-banks-face-CVA-hit.jpg.webp?itok=7y-x836v)
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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