Europe
Race to cash in on term Sonia is filled with twists
Pending merger and FCA’s effort to create synthetic Libor rates could sway outcome
Quant finance courses tested by Covid’s echoing classrooms
Universities fret over drop in international students and demands of online learning
ABN Amro crushes CVA charge with index hedges in H1
Risk-weighted assets for CVA drops 48% in six months to end-June
EBA’s software compromise draws fire on two fronts
UK regulator suggests it will neuter the proposed capital relief, which banks say doesn’t go far enough
Internal stress tests of EU banks not up to scratch – ECB
Only one in 10 banks’ internal tests are tougher than supervisor-run programmes
Swaption compensation consensus proves elusive
ECB-sponsored recommendations fail to rally market behind compensation exchange solution
Top banks defer €1.6bn of profits on hard-to-value trades in H1
BNP Paribas set aside €532 million alone in H1
Rising Level 3 assets threaten bank profits
Dealers are relying on in-house models to value large amounts of complex structured products
Non-cleared euro swaps market wrestles with discount rate switch
Buy-siders prepare for valuation change from move to €STR
Trading VAR leapt higher across EU banks in Q2
Average VAR across seven systemic lenders increased 61% quarter-on-quarter
Axa’s solvency ratio continues fall in Q2
French insurer’s core ratio has dropped 18 percentage points year-to-date
Systemic eurozone bank provisions hit €11bn in Q2
ING sees loan-loss charge double in Q2
FX swaps platform aims to cut out the banks – but not entirely
Peer-to-peer newcomer FX HedgePool targets asset managers’ month-end hedging activity
CRR ‘quick fix’ pushes UniCredit’s RWAs lower
Italian bank nets €2.4 billion of RWA relief from regulatory changes
Shift out of models nets ING €8bn of sovereign RWA relief
Of standardised approach government debt exposures, 24% had a zero risk-weighting in Q2
People moves: Eurex picks Peters as CEO, Citi appoints Italy duo as MSS co-heads, ORX reshuffles board, and more
Latest job changes across the industry
Market risks push Allianz’s Solvency II ratio lower in Q2
Whipsawing markets help take three percentage points of the firm’s core solvency ratio
Commerzbank takes €111m of XVA losses in H1
Valuation adjustment benefits gained in Q2 did not offset huge Q1 losses
EU banks’ Q1 credit risk estimates show little Covid effect
Probability of defaults for retail exposures edged up only slightly quarter-on-quarter
SocGen mulls sale of structured product books after big losses
Rival Natixis also plans to place parts of its equity derivatives business in run-off mode
BPCE’s capital ratio falls as it waits on Covid loan relief
Delay to state guarantee benefits took 32bp off of CET1 ratio
Corporate, SME loans to take brunt of Covid shock, say EU banks
Though credit outlook has darkened, banks expect to increase lending overall
Eurex passes volatility test with flying colours
Eurex explores how Covid‑19 volatility across the industry has tested market participants’ resilience, and how the central counterparty itself has proved its credentials as a reliable and sustainable euro liquidity pool
IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk