Within Société Générale’s generally terrible Q2 results…
Can anyone explain why the bank continued to use market valuations for its Greek bond impairment (€395m before tax), whereas BNP Paribas has been marking to model?
It’s the same basic asset, although we note that SocGen’s Greece holdings all appear to fall within the eligibility criteria for the IIF bond offer (i.e. maturing before 2021) whereas some of BNP’s fall outside. BNP moved to model because there apparently isn’t any market to support prices but SocGen seems to be different.
It’s mostly market valuation, anyway. From pages 21 to 22 of the financial statements we get a bit more (click to enlarge):
This is a bit more about the Greek bond swap but it’s interesting to see SocGen doing a “correction” of yield curve movements because the market is considered “abnormal” there.
By contrast SocGen’s gross exposure to senior and super senior US RMBS CDO tranches (which are marked to model) has fallen more than €1bn to €2.46bn, since it’s been able to begin offloading them and marking the underlying RMBS to market once again…
Related links:
Level 2 assets are the new Level 3 – FT Alphaville
From Level I to Level III, the myth of fair value – FT Alphaville
Greece as a test for auditors – FT Alphaville
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