Russia-Ukraine conflict
Ukraine crisis ‘made VM three times IM’ on CME commodities
Isda AGM: Margins spiked in April following rises in oil, gas and wheat prices triggered by Russia’s Ukraine invasion
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
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
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
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
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
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
Ukraine conflict reminds quants that operations matter
Quants cannot ignore real-world frictions such as sanctions and market closures
Russian invasion stirs up ‘perfect storm’ for XVA desks
Declining credit quality of Russian companies and spike in inflation threaten CVA and FVA double-whammy for banks
Super backwardation trips up commodity carry trade
Wrong type of curve derails quants’ commodity carry trade for worst spell in decades
ETF issuers face dilemma with frozen Russian funds
To liquidate or not to liquidate? BlackRock, VanEck and Lyxor risk lawsuits if they wind down ETFs
Crypto industry faces ‘fork in the road’ over sanctions
Bow to policy-makers’ concerns about sanctions evasion or face reputational damage, says LSEG’s Schwimmer
Banks: sanctions evasion driving rise in money laundering risk
Attempts by oligarchs to siphon cash out of Russia sparks heightened scrutiny of AML alerts
On Russia, finance needs to find its moral compass
The looming risk of big write-offs should prompt investor rethink