Mark-to-model
Global banks boost Level 3 assets to new highs
European lenders and UBS-Credit Suisse merger fuelled rise in hard-to-value instruments in 2023
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
A new approach to marking volatility of illiquid options
Julius Baer quant’s arbitrage-free solution overcomes challenge of sparse data
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
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