Banks treat more than half of their holdings of sovereign bonds as risk-free, according to the Basel Committee's annual report
Inconsistencies in how the Solvency II volatility adjustment will work are becoming clear to insurers as they begin work on stress tests that were launched in April
Sovereign bonds are free of capital charges under the Solvency II standard formula. Yet supervisors are encouraging firms to take sovereign credit risk into account in their internal models and Orsas....
The computational requirements of Solvency II are driving the need for more computing power and data storage accessible on a scalable basis. Early adopters are leveraging cloud computing for their Solvency II implementation. Others are taking a more cautious approach, waiting for the industry to address key concerns such as security before they to embrace computing.
More Sovereign bonds articles
High yields and low volatility driving comeback from core-Europe firms
Banca d'Italia proposes to allow its banks to ignore some government bond volatility
Fund manager Stratton Street suggests a better indicator of a government bond’s worth is its net foreign liabilities. It prefers Middle East and Asian sovereigns, particularly China, to US Treasuries
Irish bank capital numbers would filter out unrealised gains and losses on government bonds
Detroit and its dealers have an agreement that could allow the city to exit its swaps at just 75% of fair value, but bond insurers want to see the deal killed off in court. Joe Rennison reports
Fixed income ETF launched at a time of volatility in the Indonesian domestic market
Bank capital numbers will be exposed to swings in the value of huge bond portfolios if a Basel III footnote appears in final US and European rules – and with interest rates still at record lows, the initial swing can only go one way. Lukas Becker reports...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.