Europe
BNP incurs nine VAR breaches in Q1
Market RWAs jump 37% to €26 billion
Machine learning in fraud analytics to combat financial crime – Getting it right
Risk and compliance professionals gathered for a Risk.net webinar in association with NICE Actimize to consider the challenges and opportunities of successfully harnessing artificial intelligence in the fight against financial criminals
EU ‘non-paper’ reveals new effort to delay CCP open access
Negotiations on CCP recovery and resolution could provide a route to postpone Mifid rule
Electronic bond trading stalled in volatile markets
Bid/offer spreads on bond platforms spiked in March and the buy side struggled to trade
How axed dividends left SocGen in a €200 million hole
Collapse in equity trading revenues prompts rethink of autocall hedging
BBVA trims capital target following ECB relief measures
Spanish lender targets 225-275bp CET1 management buffer
SocGen’s trading VAR unmoved by wild markets
Though market RWAs soared, VAR dipped 7% quarter-on-quarter
Bleak macro view pushes Lloyds’ ECL over £5bn
Anticipated loan losses for commercial loans up 39% on end-2019
Deutsche Bank liquidity buffer shrinks €17bn
Clients’ clamour for cash forces bank to monetise liquidity pool
Sonia term rate contenders tested by market mayhem
Regulator-proposed quote approach falters as dealers pull swap prices from screens
CVA, market RWAs more than double at UBS in Q1
Overall risk-weighted assets increased 10% on end-2019
Covid relief frees €4.9bn of capital at Santander
Bank sees CET1 buffer climb to 272bp
Leaked EU document casts doubt on leverage ratio relief
Several MEPs oppose leverage exemption for sovereign bonds, but some want SA-CCR fast-tracked
Statisticians grapple with inflation impact of Covid-19
Collecting reliable inflation figures during lockdown is not straightforward
EU market risk relief targets VAR measures
Dealers with a large percentage of their total capital set using value-at-risk stand to benefit most
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
EU banks diversified sovereign holdings in 2019
Yet banks in peripheral eurozone countries still heavily exposed to home government risk
BoE and ECB weigh calls to follow US lead on capital relief
European regulators face pressure to exempt sovereign exposures from leverage ratio
CCPs postpone euro discounting switch to July
Five-week extension agreed after working group proposal for September delay fails to find consensus
Output floor cliff edge effects threaten EU banks
Capital measure to have uneven impact across five-year phase-in
El-Erian on Covid-19 policy risks and central bank capture
Former Pimco chief says Fed has gone too far, market function rules needed and chance opens for shared policy load
Eurozone banks fear market risk capital hike due to Covid-19
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
Many EU banks have dollar LCR shortfalls
Twenty-two surveyed banks had USD LCRs below 100% as of June 2019
Too much regulation of spot FX could hurt European markets – MEP
A sub-section in the Markets Abuse Regulation could be sufficient oversight, says Ferber