Risk Quantum/European Banking Authority (EBA)
EU’s 2020 stress tests are toughest to date
Real GDP projected to contract –4.3% over three-year scenario horizon
Trading’s share of EU bank income shrinks in Q3
French banks boasted highest share of income from trading, at 24%
Cyber risk tops EBA poll of operational risks
Bank analysts say money laundering, conduct and legal risk are pressing challenges, too
Derivatives expand share of EU bank assets in Q3
Valuation effects likely behind consecutive quarter increases in these instruments’ portfolio share
HSBC leads EU banks on VAR measures
In aggregate, IMA risk exposures focused on traded debt
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
SocGen leads EU banks on trading asset gains – EBA
Almost three-quarters of H1 2019 income came from gains on trading assets at French bank
Own-country risk makes up 42% of EU bank sovereign exposures
Polish, Estonian and Romanian banks most exposed to home governments
Op risk modelling limited to largest EU banks
Smallest banks do not use AMA at all
IFRS 9 transitional measures saved EU banks €22bn
Four Greek banks claim €1.2 billion of capital relief on average
New CVA regime to hike affected RWAs fivefold at EU banks
Systemically important lenders face 622% increase in CVA RWAs; but effect could be less if existing exemptions are carried over
FRTB to double market RWAs of EU banks
Risk-weighted assets across 44 banks to increase 105% on average
EU banks cut toxic loans, but pace of improvement slowing
Cypriot and Greek banks improve NPL ratios the most in nine months to end-June