Europe
Avoid floating rates on non-cleared repo – ICMA
€STR won’t be published until October, but its next-day publication will make settling complicated
Fewer banks to sell MREL debt – EBA
Lenders plan to attain more retail deposits and Tier 2 and AT1 instruments instead
Insurers’ CLO exposures are small, but growing
US insurer holdings hit $122 billion in Q4 2018
Mifid transparency regime snares illiquid bonds
Banks and lobbyists call on EC to remove emerging market bonds from real-time transparency
How to adapt a bank for MPE resolution strategy
Senior SRB official suggests what is needed to prove resolution entities can operate separately
CVA exemption in Basel III could save EU banks more than €18bn
Tweaks to op risk framework might reduce capital shortfall by €12.3 billion
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
Big banks to bear brunt of Basel III reforms in EU
G-Sibs short €82.8 billion of Basel III capital
Ties between EU insurers and banks vary by country
Estonian, Cypriot and Swedish insurers most exposed to banking sector
Basel’s unlikely victim: venture capital
Changes to credit risk framework could block alternative path for EU banks to finance SMEs
US parries EU jab on CCP oversight
CFTC’s Pan questions Esma’s “very complex” test; EC’s Pearson calls it “more intelligent” than US’s
Pre-2019 ABS ‘very unlikely’ to stay in EU liquidity buffers
Issuers will struggle to adapt old deals to new STS rules, forcing banks to reshuffle HQLAs
Eurozone G-Sibs’ op RWAs fall €8.1bn in Q1
Deutsche Bank led the charge with €6.4bn reduction
BoE drops Libor for hedging UK forex reserves
Risk Live: Central bank adopts Sonia in Treasury swap programme, consults on restrictions for Libor collateral
One size does not fit all – Adapting to meet investment goals
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
Czech National Bank raises countercyclical buffer to 2%
Increase takes effect from July 2020
Deutsche slashes links to other financial firms
Intra-financial system assets and liabilities fall 22% and 29%, respectively
Lingering Euribor may hit €STR futures prospects
Bourses question viability of euro RFR contracts as Euribor reform efforts remove transition incentives
Corporate loan exposures weigh on EU banks
Risk density across EU G-Sibs stood at 93% for corporate loan exposures
IRB approaches cover two-thirds of European bank credit risk
Share of risk-weighted assets calculated using internal models between 41% and 91% at the G-Sibs
SME loans more capital intensive for big eurozone banks
Corporate loans to smaller enterprises attract high risk weightings
Eurozone G-Sibs’ swaps notionals fall €9.6trn in 2018
Deutsche Bank’s portfolio shrinks 16% year-on-year