Fair value
Fed’s new liquidity rule spells more pain for regional banks
Limit on HTM assets follows move to deduct unrealised losses from capital buffers
JP Morgan sails through DFAST with 200% AOCI reversal
Only major dealer to turn mark-to-market losses into gain in simulated recession
Trading and AFS securities hit record high at US G-Sibs
Rebounding fair values and appetite for trading inflate indicator used in annual G-Sib assessment
BofA, JPM hoover up $104bn of US Treasuries in Q1
As Fed’s first rate cut nears, banks revamp their AFS holdings
Norinchukin’s paper losses double to record high
Latest AOCI fluctuation knocks 29% off CET1 capital
DVAs inflate US banks’ liabilities by $4.9bn
Credit spread retrenchment since last year’s crisis comes with flipside of larger structured-product liabilities
Republic First’s securities portfolio lost over $400m in 2024
Fair-value losses on non-agency RMBS holdings accelerated as rate cut expectations dimmed
Northern Trust buys $2.4bn of US Treasuries as rate-cut prospects rise
Additions to the 5–10 year portion of AFS book have been, for now, swapped to SOFR
BTFP shutters with loans at near-record high
Program saw last-minute $3bn dash for loans in final three days of operation
US banks rejig securities to cut mark-to-market losses
Fifth Third leads charge with $12.6bn transfer from AFS to HTM pen
EBA seeks to tighten up uneven prudent value adjustments
Regulator to consult ‘soon’ on changes to improve consistency of capital deductions
At US banks, paper losses on HTM securities hit new high
Bank of America leads way as mortgage-backed securities drive aggregate rise in Q3
Bank of America refills AFS book with T-Bills
Bank makes head start on peers in reshaping battered fair-value investments
HSBC’s rate-hedge reset to generate $1bn bond loss
Unwind of lower-yielding bonds costs $578m in Q3, with another $400m expected by year-end
Five US banks add $7bn in unrealised losses in Q3
Deductions at JP Morgan and Wells Fargo surge by more than $2 billion each
RBC’s loan-underwriting VAR drops 59% as volumes dry up
Widening credit spreads had previously sent market risk on syndicated loans skyrocketing
Some US banks defy yield uncertainty to grow AFS securities
Treasuries remain preferred buy, but regionals also pile into munis, MBS in Q2
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
Derivatives valuation swings lop $2.4bn off BofA’s income in Q2
DVAs and markdowns on fair-value hedges return to drag on dealer’s revenue
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios