Europe
Banks look back in anger as FRTB revives 1990s risk test
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
UK pensions remain wary of long-duration LDI workaround
Trustees worry managers are swapping one risk for another to maintain hedges in wake of gilt crisis
US falls behind in race to match Europe’s FRTB launch date
Recent US bank failures could jeopardise planned January 2025 start date for Basel III
Hurdles to cross-border data sharing impede AML fight
Expansion of national initiatives hampered by data-privacy and information-security fears
Santander, Credit Suisse hit hardest by AOCI in Europe
Unrealised losses, mostly from exchange rate swings, shave huge chunks off CET1 capital
Did US hedge accounting rules contribute to SVB’s recklessness?
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
Pricing in volatile markets and potential regulatory impact
A combination of volatile and turbulent prices, challenges for valuation and the introduction of the US Securities and Exchange Commission (SEC) Rule 2a-5 means data specialists are more essential than ever for investment firms
Ice Clear Credit worst-case liquidity scenario worsens by half
Estimated largest payment obligation at highest ever level in euros in Q4 2022
Deutsche Bank health check comes back clean
From capitalisation to derivatives, Germany’s top bank displays as robust a prudential profile as its peers
SVB opens floodgates on liquidity buffers debate
European regulator says HQLAs should be booked at fair value, but not everyone agrees
Credit Suisse CDSs offer no reprieve for AT1 losses
Legal experts pore over credit definitions after AT1 writedown
Alarm over gas futures market’s ongoing flight to OTC
Worries focus on potential for hidden systemic risks and lack of accessibility for smaller firms
Eurex-LCH basis hits new highs amid rates vol
10-year price gap spikes to 4bp as 30-year whipsaws; Eurex gauge indicates stable flow balance
Credit Suisse’s funding disclosures raise questions
The bank reported $141 billion of “other exposures” in NSFR at the end of 2022
CaixaBank, UniCredit most exposed to rate increases in Europe
Banks report largest hits in IRRBB tests, but remain clear of fail threshold
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
Tales from the crypto prompt calls for FX-style market structures
Demands for interdealers and prime brokers to be brought into crypto market in wake of FTX debacle
Missing Basel metric could have revealed SVB risks
US regulators did not implement economic value of equity test that SVB failed badly in 2021
Ice exec rejects cloud for critical infrastructure
FIA Boca 2023: SVP Bland “can’t imagine” outsourcing critical infrastructure; DRW’s Wilson warns of concentration risk
Emmi seeks to ditch ‘expert judgement’ in Euribor overhaul
Q3 consultation would centralise Level 3 submissions with administrator in bid to expand panel
People: More Goldman sackings, Citi promotes for Emea, and more
Latest job news across the industry
Is Euribor on borrowed time, or here for the duration?
As €STR gains traction, traders are still hedging their bets on a euro benchmark transition
Still Trussed up: UK pensions confront fallout from LDI crisis
Trustees and consultants are making risky trade-offs as interim guidance increases the cost of hedging
BNP Paribas quants ‘industrialise’ portfolio construction
Firm says tech, five years in development, takes two hours to do jobs that previously took two days