Sovereign risk
Many EU banks’ sovereign portfolios highly concentrated
Forty-eight lenders have more than three-quarters of sovereign risk allocated to home country
Greece slashes rates exposure with €35 billion swap programme
Sovereign debt agency entices 18 banks into hedging programme, locking in historic low rates on bailout loans
Bank risk, bank bailouts and sovereign capacity during a financial crisis: a cross-country analysis
This paper analyzes the competitive effects of government bailout expectations on bank risk using a sample of banks in OECD countries from 2005 to 2015.
Credit data: doom loop depends on sovereign strength
Analysis of 59 countries shows bank and sovereign credit are most likely to be correlated in lower-rated countries
UK Treasury never analysed impact of risk weights for EU debt
Risk weight move seen as political threat to EU sovereign issuance to force Brexit equivalence deal
CIBC's Barbados woes incur $44 million capital charge
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour
'No-deal' Brexit would add risk weights to EU government bonds
HSBC has most sovereign exposures that could attract higher capital charges among big UK banks
Munich Re adjusts sovereign portfolio
Reinsurer clips US, UK, Italy holdings
Bond run hits UniCredit capital buffer, trading income
Bank rides rollercoaster of BTP price plunge
Commerzbank VAR jumps on Italian turmoil
Sovereign bond yield spike hits public finance portfolio
French banks’ leverage ratios rally on EU court win
Improvements of 10 to 30 basis points follow change to leverage measure
Leverage ratio redux: the fallout from French bank court win
EU countries could seek to benefit from exclusion of state-backed deposits from leverage ratio
EU insurers most exposed to French sovereign risk
French government bonds make up 23% of sovereign exposures
Emerging market corporate bonds as first-to-default baskets
Modified Merton model offers insights on EM corporate debt
Credit data: ‘dirty diesel’ woes weigh on autoparts firms
Auto supplier default risks have jumped, as environmental concerns hit prospects for diesel vehicles, says David Carruthers of Credit Benchmark
Tranche warfare: uphill struggle for euro safe bonds
Junior tranche and regulatory impasse are key challenges for pan-eurozone sovereign bond-backed securities
Credit data: reasons to like Europe and G-Sibs
Bank estimates offer alternative view on probability of default risk
Monthly credit data review: energy sector firing on all cylinders
Bank-sourced credit data shows rising confidence about oil and gas firms
Monthly credit data review: the Amazon effect and a rising Russian state
David Carruthers of Credit Benchmark looks at bank, sovereign and corporate credit risk data
Doom loop reloaded: CRR II goes soft on sovereign debt
EC dilution of Basel liquidity and market risk rules could create new regulatory arbitrage
Treating sovereign bonds as risk-free ‘courageous’ – Parente
UFR update needed for credibility; too early to change risk margin, Eiopa director tells conference
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
Sovereign risk manager of the year: SHCP
Mexico hedged against the oil price collapse while diversifying its debt investor base
Q&A: Visco of Bank of Italy on bank reforms and supervision
Splitting off prop trading would ‘complement’ EU resolution regime