Europe
UniCredit slashes CCP exposures by nearly 40% in a year
Lower exposures at default for exchange-traded derivatives the main driver behind overall drop
Rate risk modellers relieved as EU deposits stay sticky
Banks feared retail deposits would be flightier than during previous periods of rate hikes
SocGen closest to TLAC minimum among G-Sibs
Gap between bail-in funds and required amounts narrows at Canadian lenders; Wells Fargo buffer smallest in US
EU dealers added €38bn of Level 3 assets in 2023
Groupe BPCE, DZ Bank led accumulation of mark-to-model instruments
Citi revealed as top index CDS dealer to Ucits funds
Counterparty Radar: Novel data shows US banks captured nearly 90% of uncleared notional volume in European markets
IM requirements at LCH ForexClear hit record high in Q2
Latest figures show a 32% increase quarter on quarter to $10.7bn
Ruled out: can regulators settle the pre-hedging debate?
Market participants are at odds over the practice and whether regulation or principles can settle the score
Cable basis set to shrink as pension buyouts dwindle
BoE rate cuts and tightening US credit spreads expected to further normalise the sterling-US dollar cross-currency basis
JPM’s EU arm outpaced bloc’s top dealers on OTC derivatives in 2023
A 30% surge in notionals coincided with a departure from central clearing
How Risk.net’s robots unlocked Ucits trade data
Machine learning tool helps reveal the largest European derivatives users – and who they trade with
Pricing and funding woes hit gilt repo
QT-driven funding cost rises combined with clients’ price demands see at least two banks pull back
UniCredit-Commerz merger could spawn sixth-largest EU G-Sib
Analysis of banks’ risk indicators suggest combined entity could have larger systemic footprint than ING and BPCE
Supervisors use generative AI to tame ‘chaotic’ data
Officials merge credit databases with unstructured reports to sharpen bank oversight, explains Banco de España ex-deputy
EU banks fear loss of NSFR repo relief
European Commission must decide by next June; other jurisdictions adopted softer calibration
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
New data reveals Pimco is top Ucits interest rate swaps user
Counterparty Radar: US managers and dealers reign supreme in European retail fund space
IM and default funds drive big variance in EU bank CCP exposures
BNP Paribas accounts for 55% of top dealers’ €126 billion exposures
From chaos to clarity: the role of clean data in banks’ digital journeys
In a Risk Live Europe panel session sponsored by Numerix, experts explored the role that clean and accurate data plays in digital transformation. Here we examine the main themes arising from the discussion
Regulators want to fix AT1s. Investors want restraint
Tweaking the instrument that regulators love to hate may be the only way to prevent its abolition
More disclosure touted to temper pre-hedging ills
Transparency could help investors choose a dealer, but will they use the disclosures?
ETF dispersion set for election revival
Sector-based approach to popular vol trades boasts cheaper entry cost than classic version, proponents argue
Dealer relief at delays to Refinitiv Matching’s tech migration
First phase of replatforming for Swiss spot pairs set to be pushed to mid-2025
The post-Archegos risk model rebuild begins… slowly
Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort
Nykredit reclassifies Dkr70bn of credit risk to A-IRB
Reserves held in anticipation of upcoming regulatory requirements transferred from F-IRB approach in Q2