DVAs inflate US banks’ liabilities by $4.9bn

Credit spread retrenchment since last year’s crisis comes with flipside of larger structured-product liabilities

The liabilities of Wall Street’s largest dealers widened by $6.8 billion as credit spreads reeled back from last year’s regional banking shock – a fiendishly hard-to-hedge accounting quirk that keeps blemishing their quarterly profits.

Across Bank of America, Citi, JP Morgan, Goldman Sachs and Morgan Stanley, debt valuation adjustments (DVAs) went from shaving $2 billion off their non-derivatives liabilities at end-March 2023, to inflating them by $4.9 billion a year later, with the reversal