Europe
Trading VAR leapt higher across EU banks in Q2
Average VAR across seven systemic lenders increased 61% quarter-on-quarter
Axa’s solvency ratio continues fall in Q2
French insurer’s core ratio has dropped 18 percentage points year-to-date
Systemic eurozone bank provisions hit €11bn in Q2
ING sees loan-loss charge double in Q2
FX swaps platform aims to cut out the banks – but not entirely
Peer-to-peer newcomer FX HedgePool targets asset managers’ month-end hedging activity
CRR ‘quick fix’ pushes UniCredit’s RWAs lower
Italian bank nets €2.4 billion of RWA relief from regulatory changes
Shift out of models nets ING €8bn of sovereign RWA relief
Of standardised approach government debt exposures, 24% had a zero risk-weighting in Q2
People moves: Eurex picks Peters as CEO, Citi appoints Italy duo as MSS co-heads, ORX reshuffles board, and more
Latest job changes across the industry
Market risks push Allianz’s Solvency II ratio lower in Q2
Whipsawing markets help take three percentage points of the firm’s core solvency ratio
Commerzbank takes €111m of XVA losses in H1
Valuation adjustment benefits gained in Q2 did not offset huge Q1 losses
EU banks’ Q1 credit risk estimates show little Covid effect
Probability of defaults for retail exposures edged up only slightly quarter-on-quarter
SocGen mulls sale of structured product books after big losses
Rival Natixis also plans to place parts of its equity derivatives business in run-off mode
BPCE’s capital ratio falls as it waits on Covid loan relief
Delay to state guarantee benefits took 32bp off of CET1 ratio
Corporate, SME loans to take brunt of Covid shock, say EU banks
Though credit outlook has darkened, banks expect to increase lending overall
Eurex passes volatility test with flying colours
Eurex explores how Covid‑19 volatility across the industry has tested market participants’ resilience, and how the central counterparty itself has proved its credentials as a reliable and sustainable euro liquidity pool
IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Natixis’s market RWAs grew 49% over Q2
Average VAR spiked to €18 million over Q2
SocGen’s VAR jumped 54% in Q2
Credit VAR more than doubled to €43 million
BNP tags €10bn of equity derivatives as hard-to-value
Over 12% of exposures classified as Level 3 at end-June
Cross-currency confusion stalks FCA announcements
Possibility of RFR fallbacks setting on different dates creating valuation issues, say banks
Covid hammered CEE banks’ capital ratios
One-quarter of EU banks have CET1 ratios below 13%
Slump in €STR swap volumes at LCH leaves market guessing
Market participants are counting on July 27 discounting switch to revive key euro benchmark
The evolution of pricing bonds and the data journey
Jason Waight, head of regulatory affairs, Europe at MarketAxess, considers why access to flexible data is key to using new trading protocols in fixed income
Why investors are stuck with flawed VAR models
Buy-side risk survey: VAR wasn’t much use in March, but it is ingrained in the industry
Coronavirus crisis sours €8bn of Santander’s loans
Loans moved into IFRS 9 stage two to reflect significant increase in credit risks