Loans
Term SOFR loans unite on spread amid ‘fair’ price debate
First use cases price below fallback spreads, but above market levels; illiquid derivatives may hike hedging costs
Neural networks show fewer false positives on bad loans – study
Machine learning method edges regression techniques in linking nonlinearities among delinquent borrowers
Approximating lifetime expected credit loss
Credit rating and collateral value's changes have a measurable impact on creditworthiness
Early movers get better pricing on SOFR loans
Borrowers making the jump to SOFR before year-end are being offered more favourable spread adjustments
Evergrande exposes China’s lack of credit hedges
Onshore credit derivatives market has been little help during property giant’s recent woes, sources say
Study fuels doubt over benefits of climate risk-weights
Research finds both green supporting factor and carbon penalising factor have drawbacks
SEC’s Gensler questions BSBY’s Iosco compliance
Bloomberg’s credit-sensitive Libor alternative draws more criticism as Iosco vows tougher scrutiny
Insurers’ favourite credit rating becomes more expensive
US institutions face a dilemma: go up a rating and lose yield or go down a rating and increase risk
Iosco steps up scrutiny of credit-sensitive rates
Standard setter calls for rates to prove compliance through stress scenarios to retain hallmark
Even Covid couldn’t stop insurers buying risky CLO tranches
NAIC rules make mezzanine debt more attractive than AAAs or corporate bonds with similar ratings
Federal bill unpicks some, not all, US Libor legacy knots
Legislative effort is progressing with bipartisan support, but non-US law contracts won’t benefit
The unintended consequences of ring-fencing
Rules aimed at protecting UK depositors may be putting too much froth into the credit market
Federal tough legacy fix gives nod to alternative rates
Legislation does not “disfavor” alternative rates, but safe harbour may not stretch beyond SOFR
Covid-forborne loans default en masse in EBA stress test
13.4% of ex-moratoria exposures in ‘stage three’ default at 2023 test end-point
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
Term SOFR gets cautious blessing for derivatives
ARRC use cases for forward RFR could accelerate derivatives’ availability, though dealers must warehouse basis risk
Morgan Stanley sets aside $73m for credit losses
Bank returns to stash reserves triggered by one facility in Q2
New Isda definitions pave way for bespoke swaps clearing
Pick-and-mix grid of floating rate options will make it easier to clear post-Libor bond hedges
Libor is ending, and corporates need to know their options
Banks must speak to Main Street now if US Libor transition is to succeed, argue ARRC working group leaders
BofA grows securities book, but shuns US Treasuries
The bank adds $78.7bn in Q2, mostly in the held-to-maturity book
A BMR-shaped hole in the US Libor transition
US could benefit from copying EU Benchmarks Regulation as market moves to shaky Libor successors
Covid-forborne EU loans sour faster as more exit moratoria
Exposures classified as stage two rose 37% in the first three months of 2021
Fractured Libor transition halts US structured rates switch
Issuance of non-Libor caps and floors dries up as lending markets mull array of credit-sensitive SOFR rivals
Loan losses: Banks’ estimates out of sync with Fed’s
Wells Fargo worst performer in latest DFAST exercise