Fair value
NatWest Markets’ CVA reserve swells £136m
Funding benefit and debit valuation adjustment help offset derivatives charge
XVAs take $346m bite out of HSBC’s trading profits
Derivatives valuation adjustment impact pushes trading profits down 49%
US regional banks put $18bn aside for credit losses in Q1
Huntington, Citizens, Truist saw provisions increase over 400% on Q4 2019
Credit Suisse takes $51m derivatives hedging loss
Net trading revenues down 47% on year-ago quarter
Bank of America shifts mortgage bonds into holding pen
By cutting available-for-sale assets, bank should avoid equity volatility
Derivatives expand share of EU bank assets in Q3
Valuation effects likely behind consecutive quarter increases in these instruments’ portfolio share
SocGen leads EU banks on trading asset gains – EBA
Almost three-quarters of H1 2019 income came from gains on trading assets at French bank
Sandbar's focus on idiosyncratic factors sets it apart from its peers in equity market‑neutral
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
IFRS 9 capital relief saves Lloyds £768m
Phase-in measures ameliorate CET1 hit of higher loan-loss provisions
OTC derivatives amounts surge 18% in H1 2019
Interest rate products alone see notionals increase to $523.9 trillion
Best CVA practices in Japan
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…
Large banks set for capital boost through Fed’s AOCI opt-out
Unrealised losses on certain assets will not longer filter in CET1 capital for non-systemic lenders
Buy-to-hold inventories empty at US banks
Mid-sized lenders have trimmed held-to-maturity portfolios the most
Fed stress test AOCI wallop softens in 2019
Fourteen participants see projected capital drain due to unrealised losses drop 63% year-on-year
Japan’s megabanks begin pricing in CVA
Local firms align with foreign dealers to include counterparty credit risk in corporate swap quotes
OTC derivatives amounts sank in H2 2018
Fair values down 6% over second half of 2018, 72% from peak
Berkshire Hathaway dinged $300m by equity index options
Derivatives have netted conglomerate $2.2 billion in gains since 2004
Lifetime achievement award: Craig Broderick
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world
Korean insurers shun structured notes ahead of IFRS 9
Prospect of earnings volatility blamed as big buyers of notes turn to less exotic assets
US banks cut available-for-sale portfolios
Securities classifications have shifted materially since AOCI filters were removed in 2014
Commerzbank cuts loan charges in wake of IFRS 9
German lender posts “risk result” – costs associated with changes to loan-loss provisions and remeasurement of assets – of €77 million in March
Japanese banks eye phased CVA introduction
Working group reports “growing need” for valuation adjustment but cherry-picking fears persist