Fudge or fix?

Barclays announced in September it had sold $12.3 billion of credit assets to a newly established fund called Protium Finance. The acquisition was largely financed by a loan from Barclays, meaning the bank has insulated itself against further mark-to-market volatility but risks losses if Protium is unable to repay the loan. Does this present a model for other banks? Christopher Whittall investigates


Governments across the globe have collectively spent trillions of dollars to help prop up ailing banks via capital injections, pump liquidity into the financial system and breathe life back into economies through a hotchpotch of stimulus packages. But so far, initiatives to rid bank balance sheets of the toxic assets that helped trigger the crisis have been limited.

Although many have made use of the US Term Asset-Backed Securities Loan Facility or looked to reduce the size of balance sheets by

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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