Europe
Capital relief trades make slow comeback from Covid slump
European synthetic credit risk transfer market now more expensive for banks
Prudential filters crimp some banks’ own funds, boost others
Two banks saw CET1 climb more than 5% at end-2019 through the EU’s valuation adjustments
Esma’s move on hedge fund leverage worries industry
Critics say proposed guidelines rely on patchy data and inconsistent calculations
Conduct risks stalk banks in Libor transition
As replacement rate concerns become more pressing, firms fear Libor lawsuits and regulatory wrath
Niche EU lenders loaded with loans to peripheral eurozone
Top European banks have limited exposures to Greece, Cyprus, Spain, Portugal and Italy
Deutsche Börse to exit regulatory reporting business
Pricing war and cost pressures force service providers to reconsider regulatory reporting businesses
Eurex’s risk chief on the need for boring models
Banks need stability and predictability of VAR-based margin when volatility spikes, says clearing house CRO
Top European insurers bet on private equity
Allianz and Axa had a combined €29 billion at end-2019
Time for the standardised approaches to shine
Banks are playing a canny game of capital optimisation by toggling between internal models and regulator-set approaches
EU bank credit models neglect peripheral countries
A majority of non-core EU exposures are under the standardised approach
Market risks push up top EU insurers’ capital charges
Allianz sees SCR for market risk surge 28% year-on-year
Eurex CRO: market meltdown will mean margins stay higher
Record breaches at global exchanges fuelling pressure to keep rates permanently higher, says risk chief
French, UK banks have largest trading portfolios in Europe
Fair value and HFT assets concentrated among biggest banks
EU urged to pass permanent market risk capital relief
Council agrees temporary changes, but ECB’s Enria wants legislators to trust supervisors
Hard-to-value assets abound at Nordic banks
Level 3 assets make up 25% of Norwegian firms’ fair value portfolios
Greek, Italian banks lead EU on IFRS 9 capital relief
Intesa Sanpaolo saw CET1 capital add-in of €2.6 billion
Own-sovereign risk higher in peripheral eurozone countries
Portuguese, Greek, Italian, Irish and Spanish banks have 51% of their sovereign portfolios invested in domestic debt
Clearing banks feel pinch as rates turn negative
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
Systemic European banks expanded scope of credit models in Q1
UniCredit and Santander have increased reach of IRB approaches the most among their peers
EU Parliament ‘likely’ to allow market risk capital relief
MEPs propose allowing supervisors to temporarily exclude Covid-related backtesting exceptions
Margin scuffle at Eurex blurs lines between risk and returns
Disagreement over liquidity risk add-ons may owe more to self-interest than risk management
ECB’s Enria unsure banks will dip into capital buffers
Anxiety over investor and rating agency reaction may limit banks’ use of Covid relief measures
Ice swap rate adds safety net with Tradeweb quotes
Inclusion of dealer-to-client prices will boost publication rate in stress periods, IBA claims