Mark-to-model
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
Level 3 assets fell at top US banks in Q2
Mark-to-model instruments disclosed by banks over $100 billion in size contracted 4%
Hard-to-value assets fell at EU banks in Q2
Level 3 derivatives assets fall 14% quarter-on-quarter
Top banks defer €1.6bn of profits on hard-to-value trades in H1
BNP Paribas set aside €532 million alone in H1
BNP tags €10bn of equity derivatives as hard-to-value
Over 12% of exposures classified as Level 3 at end-June
Valuation risks fell at UBS in Q2
Swiss lender is sitting on $8.1 billion of Level 3 assets
Mark-to-model assets spiked at eurozone banks in Q1
Level 3 derivatives assets increased 52% quarter-on-quarter
French, UK banks have largest trading portfolios in Europe
Fair value and HFT assets concentrated among biggest banks
Mark-to-model assets surge at top US banks in Q1
Level 3 instruments hit an aggregate $137 billion among banks over $100 billion in size
Hard-to-value assets abound at Nordic banks
Level 3 assets make up 25% of Norwegian firms’ fair value portfolios
Japan Post marks down CLOs by ¥122bn
Lender has increased holdings of CLOs 76% since Q4 2018
Commerz tags €5bn of CLOs as hard-to-value
Buyers’ strike makes mark-to-market pricing impossible for structured credit
Totem poll: users of Markit service call for change
Markit's Totem service has been providing valuations in illiquid inflation derivatives products for the past 11 years, but the recent launch of central clearing for inflation swaps has revived concerns about its valuation methodology
Evolving reporting/valuations in $2.8trn fund admin survey
Hedge Funds Review's Alternative Administration Survey finds AIFMD reporting and valuation processes are evolving, while national regulator validation checks are said to be neither uniform nor consistent with Esma specifications
Hedge funds see fund admin offering divergence
A survey of alternative administration providers found noticeable differences in their service offerings
Fair value accounting's blind spot
In recent years, the preference for market-determined prices as the correct basis for valuation has become deeply ingrained. While agreeing with this view in principle, David Rowe argues it is not applicable in all circumstances
Liquidation cost: why mark-to-market values are wrong
Equity portfolios are marked-to-market on the assumption that each share will recoup that amount of cash – but exiting large positions has a market impact, wiping out value. New research indicates this dynamic may be governed by a universal law. Laurie…
No quick fix for fiduciaries on asset valuations
The collapse in prices associated with a number of esoteric assets during the global financial crisis has led regulators, investors and other parties to examine new ways to calculate asset values and potentially reduce dependence on a few major dealers…
Valuation & transparency sponsored forum: Derivatives valuation – challenging the process
Valuation of derivatives instruments has become a key focus for regulators and banks since the onset of the financial crisis, leading to greater demand for transparent and independent valuations. A group of industry experts convened in London recently to…
Credit tails
Models have taken a lot of flak in the past few months, with dealers and investors alike racking up millions of dollars in losses after the second major dislocation in the credit markets in two years. Jon Gregory considers some of the problems with…