Europe
Traders say BoE green bond purchase scheme could sap liquidity
Updated plan could spike prices and volatility – harming not just brown bonds, say dealers
Prudential filters took a smaller bite out of bank capital in 2020
Additional valuation adjustments deducted €1.3 billion less from CET1 at top banks
Euro swaps clearing showdown pits banks against Brussels
Forcing swaps clearing to Frankfurt would play into hands of US rivals, say European dealers
ECB’s models review heaped €275bn of extra RWAs on banks
Average bank CET1 capital ratio fell 71bp through Trim process
Government bond swaptions and how they might work
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
EU firms run the most euro swap risk – Eurex exec
LCH data shows trades with at least one EU counterparty make up a quarter of volumes, but German CCP claims EU firms run more risk
LCH SA skin in the game fell in Q4
In contrast, pre-funded clearing member contributions to the default funds increased 10% to €6.1 billion
EU banks fret over mismatches on ESG disclosure rules
Different timelines for banks and their clients could stymie comparisons between banks
Initial margin at Ice CCPs surged over 2020
Required IM at Ice Clear US increased 42% year on year
Share of small EU bank assets under standardised approach grew in 2020
At small banks, SA covered 88% of credit exposures
‘Crypto Dad’ Giancarlo says DLT could have aided in Archegos
Former CFTC chair says managing collateral by distributed ledger technology would enable better oversight of risks
ESG derivatives – From equity to fixed income and beyond
In a Risk.net webinar convened in association with Eurex, panellists discuss the rising demand for and their own experiences of using and developing ESG derivatives, their views on future developments and the challenges of growing the market
EU banks’ credit risk estimates stabilised at year-end
Weighted average corporate borrower PD across countries climbed to 2.15%
EU funds levered up over 2019
Gross hedge fund leverage came to 6,450% of NAV
EU systemic banks added €9bn to capital through IFRS 9 break
UniCredit was the top beneficiary with an 82 basis points CET1 ratio boost
Going it alone: Lombard Odier steers clear of investing crowd
Research head Tabachnik says strategies like intraday momentum are victims of their own popularity
Eurex switches default fund calculation
As whipsawing markets see contributions balloon, CCP will now base charges on stress loss method
Fed economist sounds alert over op risk capital arbitrage
Insurance payouts could allow banks to pare back capital without equivalent reduction in risk, says paper
Margin breaches quadrupled at Eurex in 2020
Equity derivatives service witnessed 1,782 breaches last year alone
Own-country risk makes up 51% of EU bank sovereign portfolios
Home government exposures up seven percentage points in 2020
Esma weighs delay to review of repo reporting rules
Expectations grow that a review of SFTR scheduled for April will be postponed due to Covid
Securitisations lowered Intesa’s credit RWAs in Q4
Synthetic securitisation shaved €2.2 billion off of credit RWAs alone
EU banks saw distressed loans heap up in Q4
‘Stage two’ assets make up 9.1% of banks’ total
Market dispels fears over USD Libor cross-currency swap shift
Traders confident market convention will shift to RFRs on both legs of deals