Europe
Esma weighs delay to review of repo reporting rules
Expectations grow that a review of SFTR scheduled for April will be postponed due to Covid
Securitisations lowered Intesa’s credit RWAs in Q4
Synthetic securitisation shaved €2.2 billion off of credit RWAs alone
EU banks saw distressed loans heap up in Q4
‘Stage two’ assets make up 9.1% of banks’ total
Market dispels fears over USD Libor cross-currency swap shift
Traders confident market convention will shift to RFRs on both legs of deals
Esma dithers over mandatory LEIs for repo collateral
The risk of no-trade lists due to SFTR hasn’t stimulated the uptake of LEIs outside Europe
Dividend freeze helped keep lid on bank CDS spreads – BIS
But the ban on distributions wrecked bank share prices
Demand escalates for reform of EU bank resolution rules
SRB chair, Spanish MEP and Danish resolution chief join push to end regional bank bailouts
No short answer: hedge funds hesitate on Europe’s ESG rules
SFDR sustainability calculations leave firms uncertain how short positions should be disclosed
SocGen’s STS securitisations hit €9 billion in 2020
‘Simple, transparent and standardised’ exposures had half the capital charges of the rest of the book
The volatility paradigm that’s stirring up options pricing
‘Rough volatility’ models promise better pricing and hedging of options. But will they catch on?
Some dealers are much cheaper than others; now you know who
New system will name the three cheapest dealers for liquid securities and show how much they cost
Most EU banks use historical simulation approach to VAR
Few lenders favour Monte Carlo or parametric methodologies
Climate shocks could cut ‘polluting’ EU funds’ value by 20%
Esma researchers say carbon-intensive funds also pose more of a systemic risk
BNP Paribas’s LCR hit record high in 2020 in wake of deposit glut
HQLA jumped 10% in Q4
At 40% of EU banks, credit risk own-funds deviate from benchmarks
Eleven banks lowballed capital requirements without justification in latest exercise
Fourteen EU banks face sanctions for poor market risk models
Twenty lenders lowballed capital requirements
Funds breathe out as EU regulators ease ESG data rules
Majority of mandatory indicators become optional in final draft of sustainability regulation
Model change pumps up Deutsche’s VAR capital charge
Switch to historical simulation approach increases requirement by 71%
EU’s initial margin relief may come too late for phase five
Long-awaited easing of model governance requirements unlikely to take effect by September
Euro banks’ trading activities pose lopsided risk to capital – ECB
Elevated downside risks to capital posed by net trading income
Isda plans ‘modular’ RFR conventions
Swaps definitions will be updated in response to divergent compounding styles in loan markets
Risk density of Santander’s securitisation book hits five-year high
Synthetic securitisations helped cap credit RWAs last year
EBA faces backlash over ‘green asset ratio’
Bankers reject proposed climate risk measure as flawed and even ‘dangerous’
EU banks expect OTC trading conditions to tighten
Credit conditions had eased in Q3 and Q4 2020, but were expected to get tougher in Q1