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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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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.
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Derivatives
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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