Fair value
BofA cut $89 billion of AFS securities in H1
Pivot away from fair-value bond investments most sweeping among large US banks
Five US banks would breach CET1 buffers on AFS loss reinclusion
Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Western Alliance, PacWest put $9.8bn of loans up for sale
Embattled banks to dispose of 13% and 10% of respective loan books as strategic options talks continue
BofA slashed AFS Treasuries holdings by 36% in Q1
Partial sale of securities portfolio crystallises $200 million of paper losses
US banks seize chance to transfer securities from HTM to AFS
Wells Fargo, JP Morgan and Citi reclassify $34bn following new hedge accounting treatment
For 11 US regionals, capital adequacy hinges on AOCI waiver
A repeal of the 2019 provision would hit KeyCorp and Charles Schwab the most
The Catch-22 of US banks’ liquidity buffers
US banks are using held-to-maturity bonds to underpin liquidity adequacy, grating against accounting guidance. What happens if they’re forced to sell?
US banks vulnerable to losses if HTM securities need to be sold
Overall mark-to-market value $300bn lower than amortised cost across 30 banks
Deutsche Bank health check comes back clean
From capitalisation to derivatives, Germany’s top bank displays as robust a prudential profile as its peers
HTM securities hit $2.5trn at US banks in 2022
BofA, First Foundation and Wells Fargo reported largest share of HTM to total securities behind SVB
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
Contrarian Goldman grew fair-value bond book in 2022
Held-to-maturity securities balloon, but bank also adds mark-to-market Treasuries as others curtail them
EU G-Sibs outpace non-systemic peers on Level 3 asset growth
Increase in mark-to-model holdings threatens to inflate too-big-to-fail lenders’ systemic profile
JP Morgan nets $1.9 billion bond book gain in swift turnaround
Q4 reversal in fair-value securities powers record quarterly increase in CET1 capital
Rifts widen across EU banks’ trading results
Largest fair-value hits from HFT assets moved further from median in H1
Norinchukin’s investment securities loss widens to $12bn
Lender is worst-hit by bond price crash among Japanese banks
Role of the dice: how Susquehanna puts game theory to work
One of the world’s largest options traders uses game theory – and poker practice – to get results
UBS cuts liquidity valuation adjustments to record low
Bank lowered bid-offer fair value discount to reflect current levels of market liquidity
Nordea marks down Danish mortgages by €29 million
House price declines mark ominous signal for other supercharged markets
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
XVAs boost Helaba trading income but inflate hedging costs
Expense from non-trading hedges reaches highest since at least 2016
BMO takes C$983m loss on Bank of the West merger hedges
Temporary inversion of yield curve hit swaps safeguarding target’s fair value