Morgan Stanley has taken a one-off $468 million accounting charge to recognise the funding costs of its over-the-counter derivatives trades. The new policy was announced in the bank's fourth-quarter results, published on January 20.
Fourteen major banks are now known to have taken a charge to incorporate funding valuation adjustment (FVA) into the fair value of OTC derivatives, leaving Credit Suisse as the only large dealer yet to have done so. Bank of America Merrill Lynch also incorporated FVA
The week on Risk.net, March 10-16 2018Receive this by email