European Central Bank (ECB)
BNP Paribas takes €403m hit unwinding TLTRO hedges
Tightening of ECB facility’s terms throws wrench into interest rate risk strategy
Challenged single-name CDS market takes optimistic turn
Trading has boomed despite recent criticism, but can the market regain its former strength?
SVB opens floodgates on liquidity buffers debate
European regulator says HQLAs should be booked at fair value, but not everyone agrees
SVB wouldn’t happen in Europe, says Deutsche CIB head
Campelli also thinks Credit Suisse’s bailed-in AT1 bonds acted as originally intended
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
Is Euribor on borrowed time, or here for the duration?
As €STR gains traction, traders are still hedging their bets on a euro benchmark transition
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
ECB promises ‘proportionate’ approach to interest rate risk
But banks still fear regulatory and investor response if many are classed as outliers
SEB’s market RWAs drop 20% as FX positions recede
Fall in currency exposures below EU’s threshold in Q4 reversed Skr5.3bn RWA hit from previous quarter
All outliers now: Europe’s unflattering IRRBB test
Banks, fearing overreaction from supervisors, urge European Commission to reject NII-based assessment
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
EU G-Sibs outpace non-systemic peers on Level 3 asset growth
Increase in mark-to-model holdings threatens to inflate too-big-to-fail lenders’ systemic profile
ECB group sounds alarm on ‘sluggish’ Euribor
Money market participants question robustness of key eurozone rate after methodology changes
ECB ratchets up Pillar 2 charges across top lenders
UniCredit, BNP Paribas, SEB and Swedbank worst-hit in latest SREP round
FSB: third of climate stress tests not tackling physical risk
Six jurisdictions conducted exercises only for transition risk
Rifts widen across EU banks’ trading results
Largest fair-value hits from HFT assets moved further from median in H1
The final countdown: Europe’s pension funds get ready to clear
With clearing exemption due to end next June, EU funds try to learn from UK’s LDI mistakes
Handful of EU banks reap benefits from domestic exposure carve-out
BNP Paribas, ING Bank and UniCredit account for more than three-fourths of G-Sib score savings from favourable intra-EU risk calculation
European exchanges warn on ‘damaging’ TTF price cap
EEX and Ice warn of widespread distortion as ECB prepares to assess financial stability impact of proposed cap
Eurozone G-Sib waiver cuts BNP Paribas a break
New carve-out of intra-bloc exposures prompts drop in French bank’s surcharge
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
Economic gloom ‘won’t stop cov-lite lending’
Investors say borrowers will continue to enjoy looser terms, despite projected rise in defaults
Pension funds face intraday margin calls from anxious clearers
Some banks stick with T+1 margin posting, but others balk at funding cost and counterparty risk