Risk Quantum/European Banking Authority (EBA)
How window-dressing distorts US repo markets
Banks crush their repo balances periodically to massage systemic indicators, with far-reaching consequences for borrowing rates
European banks swell stocks of complex instruments
Derivatives and hard-to-value holdings rose across the bloc in 2024
JP Morgan SE’s clearing rate plunged to 15% in 2024
US bank’s EU arm slashed €5.7trn in cleared notionals, while bilateral grew €11.4trn
JP Morgan SE, BPCE drive surge in European OTC derivatives
Foreign-owned dealer and French bank climb rankings on rapid notional growth in 2024
EU banks’ systemic indicators soared to record highs in 2024
Trading activity drives surge across 29 banks
UniCredit shed €976bn of OTC derivatives notionals in 2024
Italian bank posts sole decline among EU peers through trade compression
Foreign banks see steeper CET1 declines in US and EU stress tests
Strong starting capital buffers at overseas subsidiaries eroded by outsized hits
Full output floor would cut average CET1 ratio by 70bp
Phased-in Basel III rules would add over €500bn to RWAs at 64 European banks in downturn
Santander loan portfolio hardest hit in EBA stress test
Simulated credit losses among 64 lenders top €394bn, up 14% from previous exercise
LBBW breaches leverage floor in EBA stress test
Adverse scenario would erode €229bn in CET1 capital across 64 banks