Europe
Ties between EU insurers and banks vary by country
Estonian, Cypriot and Swedish insurers most exposed to banking sector
Basel’s unlikely victim: venture capital
Changes to credit risk framework could block alternative path for EU banks to finance SMEs
US parries EU jab on CCP oversight
CFTC’s Pan questions Esma’s “very complex” test; EC’s Pearson calls it “more intelligent” than US’s
Pre-2019 ABS ‘very unlikely’ to stay in EU liquidity buffers
Issuers will struggle to adapt old deals to new STS rules, forcing banks to reshuffle HQLAs
Eurozone G-Sibs’ op RWAs fall €8.1bn in Q1
Deutsche Bank led the charge with €6.4bn reduction
BoE drops Libor for hedging UK forex reserves
Risk Live: Central bank adopts Sonia in Treasury swap programme, consults on restrictions for Libor collateral
One size does not fit all – Adapting to meet investment goals
Guillaume Arnaud, global head of quantitative investment strategies (QIS), and Sandrine Ungari, head of cross-asset quantitative research at Societe Generale, explore the benefits of QIS for investors, why flexibility is crucial for investors to meet…
Czech National Bank raises countercyclical buffer to 2%
Increase takes effect from July 2020
Deutsche slashes links to other financial firms
Intra-financial system assets and liabilities fall 22% and 29%, respectively
Lingering Euribor may hit €STR futures prospects
Bourses question viability of euro RFR contracts as Euribor reform efforts remove transition incentives
Corporate loan exposures weigh on EU banks
Risk density across EU G-Sibs stood at 93% for corporate loan exposures
IRB approaches cover two-thirds of European bank credit risk
Share of risk-weighted assets calculated using internal models between 41% and 91% at the G-Sibs
SME loans more capital intensive for big eurozone banks
Corporate loans to smaller enterprises attract high risk weightings
Eurozone G-Sibs’ swaps notionals fall €9.6trn in 2018
Deutsche Bank’s portfolio shrinks 16% year-on-year
ECB’s Holthausen on Euribor, fallbacks and Eonia’s end
QE wind-down could boost Euribor, but panel bank expansion is unlikely
Level 3 assets at eurozone G-Sibs swell to €82bn in 2018
IFRS 9 likely contributor to first increase in Level 3 inventories since 2014
Some EU funds leveraged more than 500% using CDS
1,337 funds held €387 billion of CDS notionals at end-2016
Generali expands scope of internal model
Total SCR drops 8% to €20.4 billion in 2018
EU banks cut €56bn of toxic loans
The region’s NPL ratio stood at 3.2%, down 20bp on the previous quarter
Final rules on securitisation due by year-end, EBA says
European issuers forced to work with incomplete legislation for another six months at least
CFTC frees amended legacy swaps from margin net
US no-action relief for compression-triggered replacement trades spurs hope for EU alignment
Getting risk models runway ready
Banks struggling with internal model requirements may soon opt for off-the-rack rather than bespoke
US banks’ liquidity buffers thinnest among G-Sibs
Mean LCR of US banks hits 122.5% in Q1