KPMG’s ISG recently published the Q4 2016 issue of The Bank Statement, which highlights KVA, one of the newest and potentially largest portfolio valuation adjustments for derivative portfolios related to the cost of regulatory capital. This issue discusses in detail the complexities, practical challenges, and accounting considerations related to KVA.
The issue also discusses a recent proposal by the Basel Committee on Banking Supervision about the interaction between IFRS 9, Financial Instruments, and the Basel regulatory capital requirements. Late in 2016, the European Commission endorsed IFRS 9 for use throughout the European Union. Finally, the issue compares a sample of large international banks’ disclosures about financial instruments that are measured at amortized cost.