European Central Bank (ECB)
Rewards for failure: the ECB’s topsy-turvy market risk relief
Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
EU banks predict OTC trading terms will tighten – ECB
Almost one-quarter of surveyed lenders say conditions will deteriorate
UK regulator rules out extending Libor deadline
Despite Covid disorder, FCA will not compel banks to submit Libor quotes after 2021
BBVA trims capital target following ECB relief measures
Spanish lender targets 225-275bp CET1 management buffer
EU market risk relief targets VAR measures
Dealers with a large percentage of their total capital set using value-at-risk stand to benefit most
BoE and ECB weigh calls to follow US lead on capital relief
European regulators face pressure to exempt sovereign exposures from leverage ratio
CCPs postpone euro discounting switch to July
Five-week extension agreed after working group proposal for September delay fails to find consensus
Eurozone banks fear market risk capital hike due to Covid-19
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
ECB data spotlights credit risk-weight disparities
Weightings applied to standardised approach exposures far exceed those for IRB equivalents
Spain lagged eurozone on bank capital in Q4 2019
Five major Spanish banks have CET1 ratios of 12% or below
Regulatory lenience over Covid-19 must be carefully judged
Former ECB supervisory board member says unwinding regulatory relief later will take courage
As Covid snaps credit models, lenders turn to stress-testing
Banks enlist scenario analysis to bolster creaking default models
Japan banks seize on US dollar funding
Daily facilities drawn upon extensively this week
EU banks eye bad loan relief from state guarantees
ECB move should prevent rickety loans counting as NPLs
Countercyclical buffer releases may free €6bn at top EU banks
Banco Santander and BNP Paribas could free €1.1 billion each
Banks rush to tap new dollar liquidity facilities
ECB saw strongest demand: $75.8 billion out of the new 12-week programme
Six countries slash countercyclical buffers
Sweden reduces its buffer the most, to zero from 2.5%
Central banks activate contingency plans amid pandemic
Rotating and remote team working aims to reduce contagion risk
ECB cuts top banks’ required capital by over €350bn
Capital conservation requirement and Pillar 2 guidance amounts relaxed, countercyclical capital buffers encouraged to fall
Splits emerge over EBA’s stress test 2.0
Experts question utility of separate bank leg that won’t feed into capital requirements
SOFR drought, CB accounts for CCPs, and the Top 10 Op Risks
The week on Risk.net, February 29–March 6, 2020
ECB mulls wider clearing house access to account facilities
Including CCPs in the Eurosystem may remove the need for them to seek a banking licence
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Eurozone real estate funds build equity holdings
Net purchases of equity hit €18.2 billion