Credit risk
Dark Covid outlook pumps up Lloyds’ loan-loss reserves
Base case for 2020 now projects UK GDP to drop 10%
Coronavirus crisis sours €8bn of Santander’s loans
Loans moved into IFRS 9 stage two to reflect significant increase in credit risks
Relief for credit losses buoys Barclays’ capital ratio
IFRS 9 transitional measures added 35bp to CET1 ratio
Pimco’s Mariappa on iterating through the Covid-19 crisis
Buy-side risk survey: bond giant’s risk head is paying closer attention to idiosyncratic risks
Top US banks reined in RWAs in Q2
Credit exposures fall after a wild first quarter
Good citizenship can signal better creditworthiness – study
Environmental and social behaviour predicts credit ratings in North America – less so in Europe
Credit scenario update drives UBS loan-loss reserves higher
Gloomier US outlook contributes to $272m of Q2 provisions
Altman: mega-bankruptcy wave coming
Credit conditions were worsening before Covid, research finds
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
At Danske Bank, market RWAs soar as credit risks dip
Bond binge contributes to 36% increase in market risk charge
Q&A: New York Fed’s Stiroh on climate change and Covid
Co-chair of Basel task force discusses possible supervisory approaches to climate risk
Systemic US banks put aside $35bn for credit losses in Q2
JP Morgan takes a $10.5 billion provision charge alone
Loan-loss provision charges nearly triple at Wells Fargo
Loss reserves for credit cards spike to 10.49% of outstanding loans
IFRS 9 compliant economic adjustment of expected credit loss modeling
This paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant solution related to expected credit loss modeling.
Covid-19 and the credit crisis
This webinar discusses the credit risk challenges facing energy intensive industrials, energy producers and traders
Synthetics sweetener teases European banks
As structural woes resolve, regulators remain split on preferential capital treatment for STS deals
European regulator U-turns on synthetic securitisations
Deals with use-it-or-lose-it mechanism can qualify for capital relief, EBA policy expert says
Covid-19 and the credit cycle
The Covid-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from a record long benign credit cycle to a stressed one, with still uncertain dimensions. This paper seeks to assess the credit climate…
Carbon pricing paths to a greener future, and potential roadblocks to public companies’ creditworthiness
In this paper, the authors introduce a valuation-based approach to estimate how energy transition risk may impact the creditworthiness of public companies globally within the next thirty years.
Capital relief trades make slow comeback from Covid slump
European synthetic credit risk transfer market now more expensive for banks
SOFR, credit quality and scenario construction
The week on Risk.net, June 13-19, 2020
Niche EU lenders loaded with loans to peripheral eurozone
Top European banks have limited exposures to Greece, Cyprus, Spain, Portugal and Italy
Covid shock could topple US insurers’ exotic CLOs
Losses on “atypical” tranches could hit $899 million
Scared of fallen angels? So are the rating agencies
Data shows rating agencies more reluctant to downgrade firms at the investment-grade boundary