Credit rating agencies (CRAs)
EBA: more climate risk supervisory reporting is coming
Official anticipates effort to identify climate impact on internal models, concentration risk
UK pension funds rush to dirty CSAs
Fearing margin pain once BoE gilt-buying ends, funds fast-track revisions to post gilts and corporate bonds
Calls grow for more oversight of ESG ratings
Current metrics are too fragmented and should have regulatory oversight, panel argues
Ethical ratings stir debate over saints and sinners
Asset manager Aegon hits out at “flawed” ESG ratings methodologies
SOFR, credit quality and scenario construction
The week on Risk.net, June 13-19, 2020
Scared of fallen angels? So are the rating agencies
Data shows rating agencies more reluctant to downgrade firms at the investment-grade boundary
For ESG raters, clearer skies still signal stasis
As Covid-19 tamps down environmental risk, rating agencies are unmoving on ESG scoring
Left out of Fed action, lower-rated CMBS overheat
BBB yield-to-worst spirals as highly-rated bonds recover after central bank and government intervention
Index delays leave passive bond funds in purgatory
Moves to postpone index rebalancings could backfire as rating agencies press ahead with downgrades
ESG investing: It’s not just great to be good
Investing according to environmental, social and governance (ESG) criteria can be done in various ways, with continuing development of filters and ways of analysing companies. As the market in ESG indexes and investments linked to sustainability matures,…
S&P resists mapping new China onshore ratings to global scale
Uncertainty over state support and accounting prompts agency to keep Chinese ratings separate
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
The DIY approach to China bond investing
Lack of international ratings means foreign investors will need research resources of their own
Rating aggregation flawed, but better than nothing, researchers say
New research finds errors still substantial even after combining ratings
Banks reject Basel’s IRB data shortage claim
Internal models remain more accurate than standardised approaches, say industry responses
ABN Amro cuts rates swaps from €24bn covered bond programme
High cost of downgrade triggers forces Dutch bank to use alternative hedge
Mixed industry reaction to Moody’s CCP ratings
Clearing members say narrow definition of default may limit ratings’ usefulness
Solvency II a poor reflection of 'actual' capital – Moody's
Rating agency joins Fitch and S&P in questioning ‘uneconomic' elements of directive
Bail-in divisions put bank swap ratings in doubt
Europe's fragmented resolution rules threaten Moody's framework
Moody's correct on swaps bail-in risk – Risk.net poll
Nearly 90% say agency is right to assume swaps won't be bailed-in
DBRS and Fitch consider bail-in boost for swap ratings
If agencies follow Moody's lead, S&P would be isolated
Bail-in: why derivatives are in scope, but out of bounds
Analysing early termination costs - and the risks of contagion - will be tough
Moody's swaps bail-in bet splits banks and buy side
Asset managers wary of assumptions that make swap counterparts look stronger