Europe
Commerzbank’s op RWAs hit 10-year low
The bank added 20bp to its CET1 capital ratio in Q1
ABN Amro’s market risk charge grew 54% over Q1
Dutch bank hit with higher VAR and SVAR multipliers
LCH, JP Morgan question BoE’s CCP resolution powers
Isda AGM: UK proposals give central bank broad powers to intervene in winding up stricken clearers
Delays to IM model approvals causing ‘anxiety’ for MetLife
Isda AGM: US insurer says regulators unprepared to accept docs where model approval is obligatory
CCP open access meets ‘disappointing’ death in UK
All eyes turn to EU’s review of listed derivatives clearing, after battle is lost in UK
Op risk data: Money laundering gaffes cost ABN €480m in penalties
Also: Turkish crypto exchange’s missing $2bn; online payment scams rise during Covid. Data by ORX News
UniCredit cut RWAs the most of EU systemic banks in Q1
The €10.8 billion cull helped improve the Italian bank’s CET1 ratio 52bp
SocGen’s cash pile grew to €163bn in Q1
Central bank deposits surge while other HQLAs shrink
For EU banks, there can be no ‘back to normal’
The ECB’s recent review of risk models shows lenders got it all wrong pre-pandemic
BNP Paribas’ VAR hit 12-year high in Q1
Equity portfolio VAR surged 27% quarter on quarter
Citi turns to decrement indexes for single-stock autocalls
US bank claims new Stoxx indexes for 23 single names will slash hedging costs and boost coupons
Swipe left: repo reporting no match for Brexit, or collateral
A happier start than Emir, but SFTR honeymoon is over now that trades report separately in UK and EU
Corporates remain on swaps fallback sidelines
Risk.net analysis finds just 14 out of 100 large non-financial firms have signed up to Isda fallback protocol
Santander added to its pile of shaky loans in Q1
‘Stage two’ assets made up 7% of its total at end-March
Risk management is not a job for compliance
Credit Suisse losses show why boards require real risk management expertise, says ex-BoE supervisor
Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
Derivatives footprint of top EU banks shrinks
Deutsche Bank reduced these exposures by 12% alone
Basel playing catch-up on climate risk, say experts
Individual regulators have already gone further in encouraging transition
Esma plan ‘won’t help’ fix Mifid swaps data problem
Dealers say proposal to force disclosure of all big-bank OTC derivatives trades won’t improve data
Systemic EU banks had €213bn of loans under moratoria at end-2020
Exposures covered by payment holidays dropped by €115bn in H2
BNP Paribas AM turns to machine learning for carbon emissions
AI may help fund manager count emissions that companies fail to report
ECB’s Trim found 900 flaws with 31 banks’ market risk models
Remedying shortcomings added €11 billion to market RWAs in aggregate
After Archegos, Credit Suisse clients tap rivals for clearing
Swiss bank is said to have lost clearing business amid uncertainty over its future
Traders say BoE green bond purchase scheme could sap liquidity
Updated plan could spike market volatility – harming not only brown bonds, say dealers