Russia-Ukraine conflict
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
Why FRTB model test loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
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%
Concentration risk add-ons too low at Ice and ECC, says regulator
Results of European stress test suggest shortfall of collateral for large commodities positions is equivalent to 17% of total required margin
Mutual funds struggle to value Russian bonds
Filings show just how challenging pricing securities has been during crisis
Japan’s GPIF divests $1.5bn in Russia-linked assets
Pension fund cut exposure to country by 95% in the 12 months to March
Fog of war: the struggle to manage geopolitical risk
Financial firms ponder how to factor the Ukraine conflict and wider global unrest into stress-testing
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
Nickel debacle weakens UK’s case on clearing supervision
LME episode comes amid scrutiny of UK regime and fresh Brexit row
CDS market mulls settlement options for Russia contracts
Tightened US sanctions threaten CDS default auction, leaving users a choice of imperfect alternatives
BoE: regulators could push CCPs to publish margin shocks
Russia-Ukraine war has forced a tenfold margin funding burden, says BNP; Ice says smaller hedgers face disenfranchisement
VAR multiplier hike sends UniCredit’s IMA charges up 23%
Market volatility following the invasion of Ukraine one of the drivers behind the increase
Clearing industry braces for volatility ‘super-cycle’
Green transition may fuel higher cash demands and more risk events, FCMs warn
Is DLT post-trade a solution without a problem?
Sources question landmark projects' ability to use technology at scale as further delay besets ASX deployment
Ukrainian debt holders brace for restructure
Investors could see a 40% haircut on the bonds, but it’s never that simple
Ruble turmoil prompts calls to fix NDF contracts
Some market participants want to see offshore fixings as an option in all standard documentation
Boaz Weinstein picks Ukraine bonds as a tail-risk strategy
Saba Capital bought debt for as little as 20 cents on the dollar, anticipating explosive payoff
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