Europe
Emergency docs: funds rush to meet EU’s revised Emir rules
Isda asks for six-month extension as previously exempt funds hit with margin requirements
Giant EU banks grow asset share over four years
Share of assets held by five largest banks in the median EU member state hits 65%
Overseas loans to US crept up in Q4
But rate of loan growth to US borrowers fell throughout 2018
AMF’s Ophèle: we need to change EU swaps trading mandate
French regulator urges EU to avoid conflicting rules, adopt principles-based approach after Brexit
Bond binge accelerates at eurozone insurers
Annualised growth rate of debt portfolios hits new high of 2.6%
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
A powder keg in forex: the prime broker business
Brokerages look at high-speed algo trading paired with bloated credit limits – and shudder
L&G’s counterparty risk charge almost doubles in two years
Operational and market risk charges also climb at UK group
Eurozone insurers’ bets on alternatives raises systemic risk
Dutch firms have more than 25% of total assets tied up in non-traditional investments
Allianz’s counterparty risk charge up €102 million in 2018
Total solvency capital requirement down €600 million year-on-year
Eurozone systemic risk diminishes
Yet jumbo exposures to other banks dominate intra-system assets
Banco Santander hit hard by IFRS 16
Average capital depletion across seven G-Sibs was 11bp
Axa market risk charge drops almost €3bn in 2018
Solvency capital requirement falls 9% year-on-year
Germany plans countercyclical buffer hike
Iceland, Bulgaria and France have also increased add-ons year-to-date
Danske Bank hires Alexandre Antonov
Risk’s 2016 quant of the year to join Danish firm from Standard Chartered
Eurozone securitisation engine sputters in Q1
Holdings of eurozone bank loans by SPEs are contracting
EU insurers’ solvency ratios weather UFR change
New fixing of ultimate forward rate increases firms’ solvency capital requirements
Single Resolution Fund fees jump at most large EU banks
Contributions fall for Deutsche Bank and Societe Generale
Banks rethink fund-linked trades ahead of FRTB
Some stop offering longer-dated structured products ahead of expected 2023 rules in EU
Generali’s solvency ratio falls on risk-free rate changes
Regulatory changes increased present value of liabilities
EU’s model study finds problems with bank VAR methods
Banks surveyed by the ECB had an average of 32 issues with their market risk models
ECB model review continues to eat at ABN Amro’s capital
Trim effects add €1.3 billion of RWAs in Q1
New inflation calculation clips buy side
Was it a rebasing of the European index, or just a change? Mismatch cost inflation receivers 16bp