Europe
Eurozone G-Sibs’ modelled risk weights well below average
Six of eight systemic lenders have modelled risk weights lower than the G-Sib and European mean
Double trouble: don’t blur FRTB deadlines, warns ECB
Ignoring reporting model deadline could muddy capital approval cut-off
Lending to shadow banks accelerates – BIS
Annualised growth rate of loans to non-bank financial institutions hits 13%
FVA – Time to go asymmetric?
Despite being introduced over six years ago, there is still no market consensus on how to calculate funding valuation adjustments. One point of contention is whether to use the same funding curve for borrowing and lending (symmetric funding) or to use…
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Frandt or foe? FCMs hit back at Esma buy-side clearing salvo
Esma pushes dealers to publish standardised fee schedules amid clearing capacity fears
Nordea builds loan-loss provisions following ECB scrutiny
Net loan losses jump to €331 million in Q3
Morgan Stanley, JP clear first cross-currency swap at Eurex
Two more banks onboarding; CCP hoping to extend service to clients in 2020
Basel III risk-weight changes to tax European banks most
Risk-weighting of IRB exposures to increase 2.8% overall
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Some eurozone banks have thin leverage capital buffers
Tier 1 capital surpluses above regulatory minimums range between 31% and 123%
Race to create term risk-free rates hots up
Markit joins term Sonia hopefuls; four providers release term €STR plans
Cultural appropriation: private equity goes quant
Machines are helping venerable shops find under-the-radar performers and factors that drive them
UK swaps carrot for stick in Libor switch
BoE committee mulls policy action, which could include capital hikes on Libor exposures
Capital cut for synthetic securitisations splits regulators
European rulemakers wary of diverging from Basel standards
Borrower default estimates continue to improve at EU banks in Q2
Greek corporate creditworthiness improves the most of 39-country sample quarter-on-quarter
Repo exposures pile up at BNP Paribas
French bank had €388 billion of repo exposures at end-June
Lloyds wins consent to flip £1bn covered bond to Sonia
The conversion, backed by 99.84% of bondholders, marks another milestone in the Libor transition
Politicians must heal a fractured UK society
Political journalist Robert Peston has grave concerns over the future of Britain, seeing profound risks with or without Brexit
Europe eyes the pitfalls of Japanification
Does the cultural and demographic experience of Japan apply to a heterogeneous grouping of nations that have no common monetary policy or a unified social outlook?
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
When climate risk starts to bite
Energy firms under increased pressure to assess physical climate risk
FCA official: stick with overnight rates for all new contracts
Schooling Latter limits term rates to legacy contracts and wants backward-looking method for loans
Fund fears linger over guidelines set to avert fire sales
Final Esma framework allays some European asset managers’ concerns