The SNB’s loan to the StabFund stood at USD 20.8 billion at end-October 2009, a reduction of USD 5 billion – almost one-fifth – on the initial figure. The funds to repay the loan came from repayments and earnings on the assets, and from proceeds of asset sales. The StabFund came to the market for the first time in June 2009. The market’s more positive performance made it possible for occasional sales to a total value of USD 1.5 billion to be conducted by the end of October 2009. Contingent liabilities declined by USD 4.7 billion, mainly as credit default swaps (CDS) expired or were prematurely terminated. At the end of November 2009, non-funded assets totalled USD 4.1 billion. Total risk exposure fell by USD 10.2 billion to USD 24.5 billion. Changes in the SNB’s risk exposure with respect to the StabFund are summarised in table 1. One effect of the recovery in the financial markets that began this spring was to trigger rises in the market values of most of the investment categories held in the StabFund. This development, together with the results of a comprehensive cash flow projection for the entire portfolio, confirm the SNB in its view that it has unimpaired prospects of receiving repayment of the loan in full. However, these calculations are bedevilled by great uncertainty – and the risk to the SNB remains substantial. As the StabFund values much of its portfolio at amortised cost, the recovery in the financial markets has only modest effects on its financial reporting.

In light of the pressures on firms and your and our need to focus on Covid-19 specific stresses we decided to pause the work we needed to do with firms to ensure the results were sufficiently robust to publish. We did learn some lessons from the work we had done that will be useful in our preparation for the climate focussed scenario:  1. Many firms struggled to identify and allocate their investments to sectors identified as having different levels of vulnerability to climate change. 2. Current model designs constrain scenario outcomes – for example, natural catastrophe models often implicitly make allowance for flood defences making it difficult to reflect and assess tipping points as temperature changes become increasingly extreme. 7  NCSC: https://www.ncsc.gov.uk/news/covid-19-exploited-by-cyber-actors-advisory https://www.bankofengland.co.uk/prudential-regulation/publication/2019/enhancing-banks-and-insurersapproaches-to-managing-the-financial-risks-from-climate-change-ss 8  8  All speeches are available online at www.bankofengland.co.uk/news/speeches  8  3. Climate risk management is not yet embedded – for example, for many firms the responses to a questionnaire on adherence to our Climate Supervisory Statement (3/19) suggested greater progress than that indicated in the completion of the stress test. Earlier this month the PRA announced that the launch of the Climate Biennial Exploratory Scenario will be postponed until at least mid-20219. This delay reflects a desire to maintain the ambitious scope of the exercise, and give firms enough time to invest sufficiently in their capabilities to allow them to deliver to a high standard. Conclusions  A core objective of supervision is to ensure that firms are resilient throughout the economic cycle.