Europe
Crédit Agricole’s XVA head departs
Laurent Chédin is leaving the banking sector; Mickael Crabos takes his place
EU active account rule may impose costly CCP basis
Buy-siders say end-users could be forced into volatile Eurex/LCH basis at the worst time under EU proposals
EU Council backs Emir exemption for corporates
Leaked doc shows majority of members want to keep intra-group reporting relief introduced in 2019
SA-CCR charges surge at BNP Paribas and ING
Dealers’ RWAs rise combined €3.1bn in volatile Q1, among biggest quarterly jumps since SA-CCR’s EU debut
Regulatory confusion clouds first annual IM recalculation
Firms dropping out of scope may need to continue posting non-cleared margin in some jurisdictions
Dora ‘critical tech vendor’ designation could cast a wide net
Experts think cloud services, data providers and software firms are all in regulators’ sights
Eurozone needs harmonised resolution tools, officials say
Commission proposals could bolster stability and common deposit insurance plans, say supervisors
FMIs pose greatest challenge for operational resilience tests
Risk Live: Calls for large-scale industry exercises to plan what happens if major CCPs go down
Top EU banks’ OTC derivatives climbed 12% in 2022
All but two dealers report higher notional amounts, led by Crédit Agricole
Risk managers mull Basel-style climate standards
Risk Live: Splintered approach to stress-testing across jurisdictions “very, very worrying”, says risk expert
Forced CS merger casts doubt on use of resolution regimes
Risk Live: Spreads on European AT1 bonds still wider than before March bail-in
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
Regulators’ remorse: SVB and the case for IRRBB capital charges
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks
Basel’s IRRBB shock scenario update hit by US crisis
Recalibration of shocks had been touted for Q3, but wider rethink may now cause delay
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
Long-end euro swap pricing anomaly remains largely untapped
Deviation in swap curve attracts limited interest because of regulatory and pension reform barriers
Eurex scrambles to avert Treasury collateral ban on US default
Current policy prevents CCP from selectively excluding eligible collateral
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EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
DC to consider second request to trigger Credit Suisse CDS
Last-ditch effort hinges on whether the bank was, or said it was, unable to pay its debts
DC rejects attempt to trigger Credit Suisse CDSs
Committee dismisses claims Swiss bank’s AT1s were not subordinated to the CDS reference entity
Europe’s new IRRBB test: the riddle with no answer
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
Eurex clearing chief calls for active account carve-outs
Isda AGM: Müller says EU clearing thresholds should exempt market-making and US client trades
Interest rate risk drives ING’s VAR to two-year high
Dutch lender’s trading risk indicator averaged €14 million in Q1