Mark-to-market valuation
Rifts widen across EU banks’ trading results
Largest fair-value hits from HFT assets moved further from median in H1
LCH’s fixed income and IRS units hit by record margin breaches
Peak breaches in Q3 were £924 million and £698 million in size, respectively
Norinchukin’s investment securities loss widens to $12bn
Lender is worst-hit by bond price crash among Japanese banks
UBS cuts liquidity valuation adjustments to record low
Bank lowered bid-offer fair value discount to reflect current levels of market liquidity
Barclays, Deutsche, Credit Suisse take $437m hit on leveraged loans
Higher interest rates eroded value of facilities stuck in pre-syndication during Q3
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
$899m margin breach at FICC’s mortgage unit
Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
Natixis fined for mismarking US rates and equities positions
Former rates trader overstated P&L by $25m, while equities traders smoothed profits after 2018 windfall
Netting uncertainty inflates Citi’s Russia exposure
Russia made up 1.2% of the bank’s top 25 exposures by country, up from 0.8% in Q1
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
Market-making by a foreign exchange dealer
An optimal liquidity model for pricing and hedging decisions is presented
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
Initial margin at Ice Europe up 15% over Q1
IM held against F&O positions hit all-time high, as number of margin breaches nudged higher
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps
Norinchukin’s capital dented by crashing bond prices
The bank lost three percentage points of CET1 ratio in Q1 as contribution from AOCI halved
Eurex’s fixed income and IRS units hit by almost 700 breaches
Peak breaches in Q1 were €706 million and €214 million in size, respectively
SwapClear incurs record number of margin breaches
LCH’s interest rate derivatives clearing service reported over 4,000 backtesting exceptions in Q1
Nickel price chaos triggered $2bn margin breach at LME
The CCP reported its largest breach ever in March, as commodities prices went wild
Charles Schwab rejigs bond books as it braces for AOCI reintroduction
Dealer might soon lose ability to waive mark-to-market swings from capital
Fair-value losses derail payout plans at State Street, BNY
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
Ice Clear Europe issued $5.4bn VM call in Q4
Price volatility in energy markets behind the largest cash call on record by the CCP
UniCredit ties buybacks to Russian exposure fallout
The Italian lender could lose as much as 200bp of CET1 ratio from a full write-down of Russian assets