Securitisation
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
Capital cut for synthetic securitisations splits regulators
European rulemakers wary of diverging from Basel standards
On securitisations, Wells Fargo is in a league of its own
Securitisation exposures account for 15% of total assets at Wells versus 2.1% for the average bank
Asia moves: Barclays picks Pecot as markets head, new Australia CEO for Credit Suisse, and more
Latest job changes across the industry
Synthetic securitisations and Europe’s capital sweetener
Regulator weighs high-quality label for synthetic deals, but without favourable capital treatment
Mortgages, auto loans find a home in new EU securitisations
Esma listed 23 public STS securitisations as of July 1
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
Final rules on securitisation due by year-end, EBA says
European issuers forced to work with incomplete legislation for another six months at least
AMF’s Ophèle: we need to change EU swaps trading mandate
French regulator urges EU to avoid conflicting rules, adopt principles-based approach after Brexit
Eurozone securitisation engine sputters in Q1
Holdings of eurozone bank loans by SPEs are contracting
Japanese banks inching away from US CLO market
New rules prevent firms investing in CLOs where originator is not obliged to retain risk
Most Basel members have yet to adopt TLAC
Many countries also behind on implementing SA-CCR, NSFR, securitisation framework
Securitisation setback causes credit risk build-up at BNPP
Total RWAs increase 3% on quarter-on-quarter
EU’s new securitisation market stumbles at the starting gate
Lack of single supervisory authority is hampering EU efforts to create new markets
Into the void: Europe’s new but hazy securitisation market
Regulatory vagueness reaches new heights as incomplete rules take effect
Two banks dominate EU securitisations
Banco Santander and Deutsche account for over one-third of total securitisation exposures among G-Sibs
Australia central bank: repo collateral will require fallbacks
Isda AGM: Debt instruments will need the provisions to be eligible for Reserve Bank of Australia repo programme
Confusion dogs start of Europe’s new securitisation rules
Incomplete rules and lack of clarity on designated supervisors thwarts hoped-for revival of key market
Swiss banks pared securitisation exposures in 2018
Credit Suisse cuts holdings 24%; UBS 80%
Securitisations push Barclays' market risk capital higher
UK bank reports 37% hike in securitisation capital charge year-on-year