Europe
EU high-yield funds at risk of liquidity shock – Esma
High-yield bond funds have just 13% of NAV in high-quality liquid assets on average
Risk density of US systemic banks trumps that of EU peers
Ratio of RWAs to leverage exposures averages 44.7% at US G-Sibs
Natixis hires Boleslawski to head equities
Long-standing SG trading head arrives at French rival
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
In liquidity buffer shake-up, Deutsche shuns cash
Central bank balances fall as share of liquidity buffer to 64% in Q2
Insurers slow purchases of eurozone sovereign bonds
Annualised growth rate of government debt holdings falls to 2%
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
Revealed: FRTB impact three times higher than expected
Undisclosed Isda study finds capital hike outweighs previous Basel Committee estimate
Peripheral EU banks free encumbered assets
Ratio of encumbered assets to total assets at Greek banks falls to 23.9% from 31.6%
EU public funds buoy Italian lenders
European facilities cover almost 10% of Italian bank funding
Mifid redux? Esma insists on LEIs for repo collateral
Mifid-style ruling will bar firms from using securities without identifiers in financing transactions
Esma probes blurry line between FX vendors and venues
Forex liquidity aggregators resemble trading platforms – but are not regulated as such, critics charge
MREL target drifts further out of Rabobank’s reach
Dutch bank has current MREL ratio of 27.8%, compared with target of 28.58%
Carney: Germany and France risk Brexit derivatives cliff edge
BoE governor says it is in EU countries’ “interest” to ensure full viability of financial contracts pre-Brexit
CME-LCH basis collapses amid rates downturn
Brexit and recent LCH initial margin raise could also be factors
Esma proposal may limit short-selling
Reporting requirement would bar securities without LEIs from being used in financing transactions
Uniform? Op risk capital rules go their own ways
Europe and Canada set to include historical losses in new standardised approach; Australia probably not
Clients demand access to CCP default auctions
“In a default, we are comfortable taking on risk and can move quickly,” says DRW’s Wilson
EU banks increase systemic footprint
Values used for seven of 12 systemic risk indicators climb year-on-year
IBA mulls RFQ data and Sonia spinoff to bolster swap rate
Benchmark administrator consults on plan to reduce non-publication and prepare for transition to RFRs
Natixis defers €120 million of trade profits in H1
French bank builds valuation reserve by 41% year-on-year
UK banks added OTC notionals in 2018 as EU peers cut back
Barclays, HSBC, Lloyds, Standard Chartered increased notionals by almost €15 trillion
Big EU banks’ Level 3 assets up 25% in 2018
Hard-to-value assets rise €35 billion year-on-year
NLP sniffs out contracts harbouring Eonia as fallback
Test finds wide range of 4,000 Libor euro contracts examined could end up in the flagging Eonia rate