Ukraine
Norway oil fund marks down Russia stocks by 87%
Country’s sovereign wealth fund moved equity holdings to lowest level of fair-value hierarchy
Netting uncertainty inflates Citi’s Russia exposure
Russia made up 1.2% of the bank’s top 25 exposures by country, up from 0.8% in Q1
Geopolitical risk models not ‘rigorous’ enough, says quant
Joseph Simonian believes game theory and reinforcement learning could improve matters
Erste sees provisions rising fourfold in gas embargo scenario
Vienna-based bank wargamed for an unlikely but devastating halt to Russian gas shipments
RBI’s CET1 ratio rebounds after briefly breaching requirements
The Austrian bank said capital adequacy temporarily fell below the regulatory minimum in May
FCMs brace for ‘tough winter’ of energy market disruption
Banks stress-test clients, add big margin multipliers to insulate against risk of 100% price moves
UniCredit rebounds on ruble rally, Russia RWA cut
Strengthening profile of Russian operations added 62bp to the bank’s CET1 ratio in Q2
US deposits from Russia hit record $43.5bn after invasion
Rush to stash cash followed walling-off of Russian financial system by sanctions
Russian corporates stashed cash at EU banks in Q1
Deposits from non-financial corporations increased 36%, while Moscow’s central bank cut balances by 28%
Japan’s GPIF divests $1.5bn in Russia-linked assets
Pension fund cut exposure to country by 95% in the 12 months to March
Eurex’s fixed income and IRS units hit by almost 700 breaches
Peak breaches in Q1 were €706 million and €214 million in size, respectively
VAR multiplier hike sends UniCredit’s IMA charges up 23%
Market volatility following the invasion of Ukraine one of the drivers behind the increase
Ukrainian debt holders brace for restructure
Investors could see a 40% haircut on the bonds, but it’s never that simple
Nickel price chaos triggered $2bn margin breach at LME
The CCP reported its largest breach ever in March, as commodities prices went wild
No soft landings in flight to safety from Russia
Impact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue
Ruble turmoil prompts calls to fix NDF contracts
Some market participants want to see offshore fixings as an option in all standard documentation
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
Energy Risk Commodity Rankings: banks and brokers battle extreme volatility
Winners of the 2022 Commodity Rankings needed new approaches to manage extreme price swings