Securitisation
SOFR phase-in for cash products sparks ‘mismatch’ fears
Official proposal for one-year transition period could lead to basis risk, participants say
Capital overhaul depresses Crédit Agricole’s solvency ratio
Wind down of “Switch” mechanism may have come at a bad time for the French lender
New securitisation rules weigh on UK banks
HSBC sees capital charge increase 41% quarter-on-quarter
Lawyers pick holes in Libor statutory fix
US ‘tough legacy’ contracts open to legal challenge even if proposed New York law is passed
Wells Fargo led top US banks on CMBS risk in 2019
Commercial mortgage-backed securitisations are struggling amid Covid-19 crisis
Barclays used securitisations as credit risk shield in 2019
Risk-weighted assets for these exposures increased 44%
Fund securitisation makes capital vanish – and watchdog growl
Probe into possible “abuses” of CFO structure could hit wider investments, experts say
Growth of shadow banks slowed in 2018 – FSB
Funds susceptible to run risk make up 72% of narrowly-defined non-bank universe
Big Canadian banks face C$1bn capital hike on securitisation changes
RBC faces C$551 million uplift alone
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
BMO braces for SA-CCR, revised securitisation charges
Bank expects C$100m equity hit through introduction of IFRS 16
Credit portfolio manager of the year: NatWest Bank
Risk Awards 2020: Big deals and big ideas have helped transform stress-test laggard to leader
Over four years, US G-Sibs slash securitisation charges
Banks also have more exposures capitalised using sophisticated calculation approaches than in years prior
JP Morgan revs up securitisation engine
Exposures receiving securitisation capital treatment increase by $13.7 billion year-on-year
Structural snags frustrate STS for synthetics
Curbs on excess spread and collateral stymie route to ‘high-quality’ signifier
Capital cut for synthetic securitisations splits regulators
European rulemakers wary of diverging from Basel standards
On securitisations, Wells Fargo is in a league of its own
Securitisation exposures account for 15% of total assets at Wells versus 2.1% for the average bank
Asia moves: Barclays picks Pecot as markets head, new Australia CEO for Credit Suisse, and more
Latest job changes across the industry
Synthetic securitisations and Europe’s capital sweetener
Regulator weighs high-quality label for synthetic deals, but without favourable capital treatment
Mortgages, auto loans find a home in new EU securitisations
Esma listed 23 public STS securitisations as of July 1
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
Final rules on securitisation due by year-end, EBA says
European issuers forced to work with incomplete legislation for another six months at least
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
Eurozone securitisation engine sputters in Q1
Holdings of eurozone bank loans by SPEs are contracting