Europe
Derivatives expand share of EU bank assets in Q3
Valuation effects likely behind consecutive quarter increases in these instruments’ portfolio share
Top 10 operational risk losses of 2019
Fraud, embezzlement, tax evasion, subprime (still) and rogue trading – and Citi crops up twice. Data by ORX News
US sidetracks bid to end European CVA exemption
Fed’s change to SA-CCR capital renews EU industry calls to preserve carve-out
IM calls rocket at LCH’s repo service in Q3
Peak aggregate initial margin call of €462 million in third quarter
EU snubs plan to delay CCP open access rules, for now
Attempt to squeeze delay into crowdfunding rules fails, but Mifid review provides last chance
Eurex: from EQD clearing specialist to all-rounder
Initial margin for equity derivatives makes up 41% of total, down from 63% four years prior
HSBC leads EU banks on VAR measures
In aggregate, IMA risk exposures focused on traded debt
Outsourced model validation: is it viable?
Consortium promises cost savings in outsourcing model validation, but some say pooling doesn’t float
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
Risk weight tweak could fix IFRS 9 capital clash – research
Practitioner suggests way to cancel out double-counting of Basel credit loss provisions
SocGen leads EU banks on trading asset gains – EBA
Almost three-quarters of H1 2019 income came from gains on trading assets at French bank
Own-country risk makes up 42% of EU bank sovereign exposures
Polish, Estonian and Romanian banks most exposed to home governments
Quant funds look to AI to master correlations
Machine learning shows promise in grouping assets better, predicting regime shifts
Singapore’s banks eye LCH membership
London CCP’s move to clear for stranded SGX clients pays off, amid broader Apac membership push
EU life insurers’ solvency ratios decay in first half
Aggregate SCR ratio for life undertakings down 9%, Q2 2018–Q2 2019
Dark materials: how one academic is delving into data
David Hand shines a light on dark data and the dangers of distortion by absence
Op risk modelling limited to largest EU banks
Smallest banks do not use AMA at all
Solvency II relief measures lift EU insurer capital ratios by a third
UK firms benefit most from long-term guarantee and transitional benefits
Leaked email reveals new assault on CCP open access rules
Largest group in European Parliament wants to shoehorn delay into crowdfunding legislation
G-Sibs in US grow leverage exposures faster than EU rivals
HSBC saw exposures fall 2.81% in Q3
EU supervisors set capital add-ons for 21 insurers in 2018
One Norwegian insurer had an add-on contributing 80% to their SCR
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Stock-picking finds unlikely champion in ex-Winton CIO
Matthew Beddall’s Havelock restyles value investing for the big data age
EU gives one-year margin reprieve on equity options
Regulators point to possible systemic risk in margin loophole, as industry urges parity with US