Securitisation
Credit portfolio manager of the year: BNP Paribas
Risk Awards 2021: lender crushes RWAs to keep taps flowing to corporate Europe during Covid crisis
Fears EU’s ‘tough legacy’ fix could tie risk managers’ hands
Proposal bans use of replacement rate in new products, which some fear could hamper hedging and novations
Friary deal clears path for Sonia switch revival
Consent solicitation for Libor-linked pass-through notes is first transition test for variable-duration instruments
One-fifth of SocGen’s securitisations have STS label
French bank held €7 billion of simple, transparent, standardised securitisations as of end-June
Change to risk-weight floor amps EU banks’ securitisation RWAs
BNP Paribas’ banking book securitisation RWAs increased 32% on end-2019
Eurozone securitisation dealmaking bounced back in Q2
Special purpose vehicles bought €19.2 billion of securitised bank loans in Q2
Synthetics sweetener teases European banks
As structural woes resolve, regulators remain split on preferential capital treatment for STS deals
European regulator U-turns on synthetic securitisations
Deals with use-it-or-lose-it mechanism can qualify for capital relief, EBA policy expert says
Capital relief trades make slow comeback from Covid slump
European synthetic credit risk transfer market now more expensive for banks
SOFR phase-in for cash products sparks ‘mismatch’ fears
Official proposal for one-year transition period could lead to basis risk, participants say
Capital overhaul depresses Crédit Agricole’s solvency ratio
Wind down of “Switch” mechanism may have come at a bad time for the French lender
New securitisation rules weigh on UK banks
HSBC sees capital charge increase 41% quarter-on-quarter
Lawyers pick holes in Libor statutory fix
US ‘tough legacy’ contracts open to legal challenge even if proposed New York law is passed
Wells Fargo led top US banks on CMBS risk in 2019
Commercial mortgage-backed securitisations are struggling amid Covid-19 crisis
Barclays used securitisations as credit risk shield in 2019
Risk-weighted assets for these exposures increased 44%
Fund securitisation makes capital vanish – and watchdog growl
Probe into possible “abuses” of CFO structure could hit wider investments, experts say
Growth of shadow banks slowed in 2018 – FSB
Funds susceptible to run risk make up 72% of narrowly-defined non-bank universe
Big Canadian banks face C$1bn capital hike on securitisation changes
RBC faces C$551 million uplift alone
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
BMO braces for SA-CCR, revised securitisation charges
Bank expects C$100m equity hit through introduction of IFRS 16
Credit portfolio manager of the year: NatWest Bank
Risk Awards 2020: Big deals and big ideas have helped transform stress-test laggard to leader
Over four years, US G-Sibs slash securitisation charges
Banks also have more exposures capitalised using sophisticated calculation approaches than in years prior
JP Morgan revs up securitisation engine
Exposures receiving securitisation capital treatment increase by $13.7 billion year-on-year
Structural snags frustrate STS for synthetics
Curbs on excess spread and collateral stymie route to ‘high-quality’ signifier