Mark-to-model
Infrequent MtM reduces neither value-at-risk nor backtesting exceptions
Frequency of repricing impacts volatility and correlation measures
Eurozone banks add €10bn of Level 3 assets in Q1
First quarterly increase in mark-to-model assets post-pandemic
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
Libor-like consensus methodology creates bad incentives, clients fear
Evolving reporting/valuations in $2.8trn fund admin survey
National regulator AIFMD validation checks said to be neither uniform nor consistent
Hedge funds see fund admin offering divergence
Providers distinguished by Emir and AIFMD reporting and valuation services
Fair value accounting's blind spot
Market prices ignore time-to-liquidation, says David Rowe
Liquidation cost: why mark-to-market values are wrong
The cost of liquidation
Risk management technology product of the year: Quantifi
Risk awards 2012
No quick fix for fiduciaries on asset valuations
Fiduciary failings
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…