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Callable repack frenzy opens up new options market in Europe
Demand driven mainly by French life insurers looking for alternatives to low-yielding sovereign bonds
Top US banks’ market risk charges surged in 2020
Citi ended year with highest charge of the G-Sibs, at almost $9 billion
Industry urges CFTC to take lead on CCP margin models
Advisory committee unable to agree steps on margin period of risk, model transparency
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Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
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Softer US NSFR could skew global repo pricing
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Big Figure
Model charges
Large banks in the EU continued to absorb capital add-ons in response to scrutiny of their internal risk models in the last quarter of 2020. A number expect to take further such charges this year, too. Dozens of top lenders were subject to on-site assessments under the ECB’s Targeted Review of Internal Models from 2016 through 2020. Some were saddled with capital add-ons following these to address the “unwarranted variability” of their model outputs compared with benchmarks.
Read the full articleDerivatives
Callable repack frenzy opens up new options market in Europe
Demand driven mainly by French life insurers looking for alternatives to low-yielding sovereign bonds
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