Credit spreads
‘It’s not EU’: Do government bond spreads spell eurozone break-up?
Divergence between EGB yields is in the EU’s make-up; only a shared risk architecture can reunite them
HSBC’s VAR up by a third amid methodology change
Duration risk behind latest spike as bank switches to 10-day holding period
RBI’s VAR spikes on FX fluctuations
Ruble trouble sends market RWAs up €1.4bn
JP Morgan SE allocates €318m for structural credit spread risk
Bank’s EU arm among first to disclose figure following EBA’s diktat on more granular monitoring of CSRBB
DVAs inflate US banks’ liabilities by $4.9bn
Credit spread retrenchment since last year’s crisis comes with flipside of larger structured-product liabilities
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
RBC’s loan-underwriting VAR drops 59% as volumes dry up
Widening credit spreads had previously sent market risk on syndicated loans skyrocketing
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
Bloomberg consults on BSBY cessation
Credit-sensitive Libor replacement faces 12-month run-off after damning Iosco verdict
Inside Blackstone’s $150bn private credit business
Talking Heads 2023: Alts giant has around 10% of global market and hopes to expand its reach by porting quant insights from liquid credit
Derivatives valuation swings lop $2.4bn off BofA’s income in Q2
DVAs and markdowns on fair-value hedges return to drag on dealer’s revenue
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
Citi’s CVA charge up 7% in Q1
Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America
A model for small basket equities financing
A haircut model for equity baskets based on credit and equity indexes is introduced
SocGen’s VAR up 33% in Q4
Gap with French rival BNP Paribas shrinks to just €9 million, the least since mid-2020
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
RBI’s VAR gauges hit new record
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
Nomura loses $18m on derivatives CVAs and DVAs
Net result from own and counterparty credit spreads swings to negative
XVAs boost Helaba trading income but inflate hedging costs
Expense from non-trading hedges reaches highest since at least 2016
Optimal exercise of callable bonds
Citi quants and structurers present a term-structure model for callable bonds' work