Credit risk
Credit data: coronavirus takes toll on corporates
Financials weathered the first phase of the lockdowns, but most other sectors were hit hard
Japan Post marks down CLOs by ¥122bn
Lender has increased holdings of CLOs 76% since Q4 2018
Commerz tags €5bn of CLOs as hard-to-value
Buyers’ strike makes mark-to-market pricing impossible for structured credit
Systemic eurozone banks take €10bn in loan-loss provisions
Santander takes a whopping €3.9 billion out of income
Credit models at odds with standardised approach on Covid
Increase to advanced approaches RWAs far outpaces growth to standardised
Capital overhaul depresses Crédit Agricole’s solvency ratio
Wind down of “Switch” mechanism may have come at a bad time for the French lender
UK banks put £7.6bn aside for credit losses in Q1
Impairment charges were roughly double aggregate net profits at top lenders
Carbon tax spike could spur global recession – S&P
Higher carbon prices would trigger widespread industry defaults, says agency research unit
CVA, market RWAs more than double at UBS in Q1
Overall risk-weighted assets increased 10% on end-2019
European banks seek capital relief for CVA hedges
Volatile trading in March caused CVA hedges to dominate market risk RWAs at some smaller dealers
US regional banks put $18bn aside for credit losses in Q1
Huntington, Citizens, Truist saw provisions increase over 400% on Q4 2019
Foreign banks’ EM exposure could spiral as Covid-19 bites – BIS
Activation of credit lines and guarantees could cause exposures to leap 26%
EU banks diversified sovereign holdings in 2019
Yet banks in peripheral eurozone countries still heavily exposed to home government risk
Covid loan losses exceed 2019 CCAR projections
CECL accounting likely responsible for discrepancy
At Bank of America, trading revenues get a $300m DVA boost
But credit and funding valuation adjustments deducted $492 million from other income
Systemic US banks put aside $25bn for credit losses in Q1
JP Morgan took a $8.3 billion provision, the most of the eight G-Sibs
Counterparty credit risk – Why data is only valuable in context
Paul Whitmore, global head of counterparty risk solutions at Fitch Solutions, explains how qualitative data can add colour and insight to quantitative metrics for assessing the creditworthiness of counterparty banks
US life insurers exposed to $130bn of CMBS
Majority of exposures are to senior tranches
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
Sluggish back-office systems added to margin pressures
Systems supplied by FIS struggled to handle massive spike in March trading volumes
Current expected credit loss procyclicality: it depends on the model
This work looks at a wide range of models to test the degree to which CECL is procyclical for different types of model.
A sensitivity analysis of the alpha factor
In this paper, we investigate the alpha factor’s sensitivity to key model parameters under stylized portfolio assumptions in order to better understand its complex characteristics. Our analysis is based on the numerical simulation of alpha sensitivities…
Local banks’ CDSs chase Italy’s sovereign risk higher
MPS and Banco BPM creditworthiness lags Italy’s
As Covid snaps credit models, lenders turn to stress-testing
Banks enlist scenario analysis to bolster creaking default models