Europe
Trading non-cleared derivatives tougher in Q3 – ECB
Twelve percent of respondents said trading conditions worsened for interest rate products
Generali’s solvency ratio continues to slide
Rate cuts, bond movements hike SCR and bite into own funds
Fed’s repo operations will not fix rate spikes, dealers say
Risk USA: leverage constraints remain, even after massive injections of emergency liquidity
UK financials pilot £4bn Sonia bond switch
Lloyds, Santander UK and Nationwide follow ABP with legacy bond transition
LCH won’t back single fix for swaptions switch
Clearing house pledges to “support” multiple solutions to discounting problem
French banks, jump-to-default and STS for synthetics
The week on Risk.net, October 26–November 1, 2019
CaixaBank approaches MREL target
Innovative social bond helps fill bail-in buffers
ING confident of capital target despite headwinds
Countercyclical capital charges push minimum capital requirement higher
Structural snags frustrate STS for synthetics
Curbs on excess spread and collateral stymie route to ‘high-quality’ signifier
French banks cry foul over EBA’s 2020 stress-test plan
Assumptions about the cost of household sight deposits are “not plausible”, critics say
Model scrutiny depletes Santander’s capital ratio
Targeted review of internal models takes 28bp off CET1 ratio year-to-date
Banks join forces on model development utility
Crisil is working with HSBC and three other banks on platform to share model-building tools
Eurozone G-Sibs’ modelled risk weights well below average
Six of eight systemic lenders have modelled risk weights lower than the G-Sib and European mean
Double trouble: don’t blur FRTB deadlines, warns ECB
Ignoring reporting model deadline could muddy capital approval cut-off
Lending to shadow banks accelerates – BIS
Annualised growth rate of loans to non-bank financial institutions hits 13%
FVA – Time to go asymmetric?
Despite being introduced over six years ago, there is still no market consensus on how to calculate funding valuation adjustments. One point of contention is whether to use the same funding curve for borrowing and lending (symmetric funding) or to use…
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Frandt or foe? FCMs hit back at Esma buy-side clearing salvo
Esma pushes dealers to publish standardised fee schedules amid clearing capacity fears
Nordea builds loan-loss provisions following ECB scrutiny
Net loan losses jump to €331 million in Q3
Morgan Stanley, JP clear first cross-currency swap at Eurex
Two more banks onboarding; CCP hoping to extend service to clients in 2020
Basel III risk-weight changes to tax European banks most
Risk-weighting of IRB exposures to increase 2.8% overall
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Some eurozone banks have thin leverage capital buffers
Tier 1 capital surpluses above regulatory minimums range between 31% and 123%
Race to create term risk-free rates hots up
Markit joins term Sonia hopefuls; four providers release term €STR plans