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JohannesBorgen Profile picture
@jeuasommenulle
Nov 29, 2021 • 6 tweets • 2 min read • Read on X
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You're all going bananas about Omicron, so I think what you all should do is take a deep breath & read this balanced, informed, presentation from people on the ground (dated today). Highlights below.

sacoronavirus.co.za/2021/11/29/pre…
Hospitalization rates has been around 10%-ish in South-Af. What we should look at is this: over the next few days (because there is a lag) is that % significantly different. It's too early to tell.
Some good news
& some less good news
But reduced efficiency of vaccines has been seen before & it wasn't the end of civilization as we know it
& this is probably the most important slide

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More from @jeuasommenulle

JohannesBorgen Profile picture
Sep 9, 2025
This is an opportunity for a bit of bond market education😊

You’ll often read that Italy is wider than France now, or actually the opposite, with people posting various screenshots from different sources to make their point.

Why is that?
It's because different sources show different things. The bond market is much more complex than the equity market!

Here's a summary
Which one of those are correct ? Image
Image
Image
Image
Read 9 tweets
JohannesBorgen Profile picture
Jul 2, 2025
France is famous for wine, cheese, Versailles, football… and credit ratings.

Today I’m going to tell you how French banks will save billions of capital thanks to an old institution & a magic trick

Read till the end, it’s the wonderful story of a ruling worths tens of billions
Let’s go back to Deutsche Banks’ recent disclosure that Basel 4 will cost them 15bn of capital (with 13% CET1r assumption).

See linked thread:

It all boils down to the fact that under Basel 4 banks will have to calculate their risk exposures using the max of

i) their internal models’ calculations and

ii) 72.5% of the “Standard” (=supervisory) models, also called the output floor.
Read 16 tweets
JohannesBorgen Profile picture
Jun 30, 2025
Why is Deutsche stock hammered today?

An old theme is coming back to haunt them: Basel 4!

Quick thread. Image
After almost 10y of discussion the package was finally enacted with full implementation in 2033.

Everyone felt, after many EBA reports & banks' disclosures, that impact would be mild.

But for first time banks are publishing capital ratios w/ the new rules and for DB it's ugly
How does it work? Banks are still allowed to use internal models, but the RWA (in 2030/2033) must be at least 72.5% of the standard (non internal models) RWA. ("output floors") and for DB that's a 33% increase!
CET1r would go from 13.8% to 10.35%! Ouch! Image
Read 4 tweets
JohannesBorgen Profile picture
Jun 23, 2025
Why is the latest EC proposal on securitization a big deal for banks and how does it change the SRT market?

A slightly geeky thread - with some backround on the SRT market if you're not aware of this important market.
First what’s a SRT?

Following secular finance practice of reinventing the wheel but changing its name, the new trendy capital optimization transactions are “significant risk transfers”, but they’re just good old securitizations (invented in the 1860s 😊.)

(cash or synthetic) Image
The reason they’re now called SRT is a regulatory one.

The 2013 CRR (Art 244/245) allowed banks to get capital relief under some conditions, essentially that “significant risk” was transferred to someone else.
Read 17 tweets
JohannesBorgen Profile picture
May 23, 2025
Are you readyyyyy for LDI take 2?

Hear me out. Something’s brewing in the UK Gilt market.

#LettuceLiz Image
As the chart above shows, the cash swap spread has moved significantly & one-way recently.

Spread to swap is now 50bps.

But EU & UK insurers book their liabilities at NPV using swap curves, not UKT curves.

Still with me ?
This means that Gilts have become an excellent investment for life insurers.

The CSM for new business is going down (but still positive) but the charge for credit is now 0 so ROE increase significantly.

So far so good.
Read 7 tweets
JohannesBorgen Profile picture
Apr 8, 2025
Bloomberg has some nice charts on the tariffs’ impacts.

The first one argues that tariffs on China are coming globally: too many countries will see a spike of imports from China & that's not sustainable. Image
The second shows GDP impacts, taking into account direct effects + indirect via trade partners (using a WTO macro model, so, you know...)

SE Asia impact is massive, -1% for EU, -1.3% Japan and -2.5% Korea. Mexico bonanza. Image
Some details on who’s going to stop which exports – very interesting split (especially if you try to model loan losses 😊). Overall 30% drop in US imports of goods (with retaliation modelled as 50% of US). China is -85%, Vietnam -75%, Taiwan, Japan, Korea Thailand -50%, EU -40%. Image
Read 4 tweets

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