Russia
As geopolitical risk spikes, a major index gets a revamp
Geovol risk gauge built by Nobel laureate Robert Engle to become Global Covol
RBI’s market risk gauges go haywire on Ukraine war fallout
Portfolio reshuffling helps Austrian bank contain RWA impact
Market braces for end of Russia central bank sanctions carve-out
Isda AGM: general licence expires on May 25, threatening bond payments and deliverable ruble settlement
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
UniCredit takes 92bp core ratio hit as Russian risks bite
Italian lender books €1.2bn of provisions, €9.5bn of new RWAs
‘Give us tools to finish the job’, say finance’s crime fighters
UK’s economic crime agency calls for public, private sectors to seize moment following Ukraine invasion
Energy Risk Commodity Rankings: banks and brokers battle extreme volatility
Winners of the 2022 Commodity Rankings needed new approaches to manage extreme price swings
UBS settlement risk up 238% as sanctions snag Russia trades
Held-up and failed counterparty transactions add almost $1bn to RWAs
Energy market split over emergency government support
German move to backstop margins with liquidity facility welcomed by energy producers – but others say it’s unnecessary
Russian bondholders may frustrate restructuring of debts
Distressed debt holders use restructurings to extract returns. Getting the agreement of Russian investors will be hard
JP Morgan takes $524m XVA loss on nickel, Russia trades
Margin calls, markdowns and rising funding costs result in biggest XVA loss since early 2020
The murky world of transparency disclosures
Lack of data granularity on Russian exposures should prompt a rethink by regulators and banks alike
Op risk data: Barclays bungles multi-billion-dollar note issue
Also: Russia sanctions redux; Lloyd’s of London names bullying and sexism brokerage. Data by ORX News
CDS users mull ‘uniform’ price as Russia fallback
Pricing agreement could replace dealer estimates if sanctions scupper default auctions
Offshore waves: how the ruble is becoming a painful trade
As liquidity dries up in markets affected by sanctions, trading is shifting from electronic venues
In roiling markets, fraud rises. Banks want to understand why
Disruption from Ukraine and Covid puts managers on alert for misconduct, as risk controls are stretched to the max
EU banks kept building Russian exposures as sanctions loomed
Latest EBA data shows the bloc’s lenders cut holdings of government debt securities, but increased commitments to private sector
CDSs may not cover final coupon on $149bn of Russian bonds
Some derivatives contracts expire before end of final grace period for distressed corporate bonds
Time’s up for UK banks to unwind swaps with VTB
Majority of contracts have been terminated, but laggards face prospect of default
Wrong-way add-on helped LCH mop up VTB default
Margin supplement bought precious time to formulate wind-down strategy
Funds forced to estimate value of Russian securities
Western asset managers can sell Russian shares from April 1. But they have to value them by March 31
Banks tout CCAR-style stress tests for emergent risks
Extreme-but-plausible scenario planning is being applied to geopolitical events such as Ukraine conflict
Berkshire Hathaway outruns index puts it sold pre-GFC
Options that netted Warren Buffett’s company hefty premiums would be worthless at end-2021 market levels