Covid
Commerzbank takes €111m of XVA losses in H1
Valuation adjustment benefits gained in Q2 did not offset huge Q1 losses
SocGen mulls sale of structured product books after big losses
Rival Natixis also plans to place parts of its equity derivatives business in run-off mode
Preparation paid off for funds during Covid liquidity crunch
Buy-side risk survey: how asset managers weathered the liquidity crisis in March
BPCE’s capital ratio falls as it waits on Covid loan relief
Delay to state guarantee benefits took 32bp off of CET1 ratio
Corporate, SME loans to take brunt of Covid shock, say EU banks
Though credit outlook has darkened, banks expect to increase lending overall
IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Mifid swaps, VAR and buy-side Covid lessons
The week on Risk.net, July 25–31, 2020
The unintended impact of collateral on financial stability
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
Covid hammered CEE banks’ capital ratios
One-quarter of EU banks have CET1 ratios below 13%
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Coronavirus shock to hit diversified lenders hardest – ECB
Diversified and wholesale lenders projected to see CET1 ratio decline 7 percentage points under worst-case scenario
Severe Covid recession could topple some EU banks
One-quarter of lenders would see CET1 ratios fall below 6.8%
Valuation risks fell at UBS in Q2
Swiss lender is sitting on $8.1 billion of Level 3 assets
Before and after the Covid-19 storm: buy-side risk survey
Wide-ranging survey reveals what worked and what didn’t in March – and what will change as a result
Top US banks reined in RWAs in Q2
Credit exposures fall after a wild first quarter
Global banks’ derivatives assets hit $4.4tn in Q1
Market values leapt 43% over the first three months of the year
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
Following Fed relief, SLR bonds loosen for top US banks
Billions of Tier 1 capital freed by tweak to ratio’s denominator
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
Investors rethink ops resilience for a pandemic-proof future
Shift to remote working sees asset managers focus on comms, tech and cyber risks