Sovereign risk
Middle East risks lift StanChart Stage 2 loans
Early alert exposures rise $1.5 billion as conflict-related downgrades mount
Societe Generale rejigs liquidity buffer towards sovereign bonds
Central bank cash at smallest share since before pandemic
Could Trump presidency herald $27bn margin call on World Bank?
Think-tank’s policy plan to pull US out of multilateral threatens AAA rating, ending collateral exemption
Industry calls for major rethink of Basel III rules
Isda AGM: Divergence on implementation suggests rules could be flawed, bankers say
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
Sovereign credit risk modeling using machine learning: a novel approach to sovereign credit risk incorporating private sector and sustainability risks
The authors investigate the effect of spillover effects from private sector risks on sovereign debt risk and the impact of rising sustainability risks on sovereign credit risk using the XGBoost classification algorithm and model interpretability…
SG, UniCredit, RBI most exposed to Russia as sanctions loom
EBA data shows €47bn of exposure to Russia from five most-exposed EU banks
Lifetime achievement award: Mark Carney
Risk Awards 2022: The calm at the eye of the storm of post-crisis regulation and climate risk management
PGIM chops CDS book as others bulk up
Counterparty Radar: The firm’s shrinking single-name book pushed Bank of America and Citi down the rankings
Pimco, Citi top for single-name CDS trades
Counterparty Radar: Top three managers account for 75% of positions – but only Pimco sells protection on the US
Own-country risk makes up 51% of EU bank sovereign portfolios
Home government exposures up seven percentage points in 2020
Portfolio shifts aided credit RWA reductions at Dutch banks in 2020
At ING, 0% risk-weighted sovereign exposures kept a lid on RWA inflation
Banks’ claims on the public sector up a third post-Covid
Own-country debt and reserves climbed 44%
European banks held near €300bn of state-backed loans in Q3
Italian banks see public guarantee scheme loans increase the most quarter on quarter
Covid payment holidays for €224bn of EU loans ended in Q3
French, German and Italian banks saw most loans lose moratoria protection
EU banks built up own-sovereign risks through Covid crisis
Italian, Spanish and French banks in particular saw holdings of domestic government debt surge
FSB offers loud warning and muted response on climate risk
Global regulators say risks are near-term and cross-border, but propose only data collection
EU Covid policies resurrect sovereign doom loop fears
Italian banks could see holdings of home country debt increase to 17% of their total assets
OTC swaps exposures of systemic US banks fell back in Q2
Aggregate current credit exposures to hedge funds falls 42% quarter on quarter
Own-sovereign risk higher in peripheral eurozone countries
Portuguese, Greek, Italian, Irish and Spanish banks have 51% of their sovereign portfolios invested in domestic debt
Credit Suisse nets 37% sovereign RWA cut
At end-2019, 75% of its government portfolio was under the standardised approach, up from 14% the year prior