Risk Quantum/European Banking Authority (EBA)
EU banks’ liquidity buffers weathered Covid turmoil
Central bank cash reserves edge up across EU lenders
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
EU banks diversified sovereign holdings in 2019
Yet banks in peripheral eurozone countries still heavily exposed to home government risk
Output floor cliff edge effects threaten EU banks
Capital measure to have uneven impact across five-year phase-in
Many EU banks have dollar LCR shortfalls
Twenty-two surveyed banks had USD LCRs below 100% as of June 2019
EU banks face near €18bn capital shortfall through output floor
Twenty-one out of 51 banking groups surveyed would be constrained by the output floor
Systemic EU banks’ bail-in requirements vary
One G-Sib resolution group has an MREL requirement of 32.8% of RWAs
EU banks short €178bn of MREL requirements
117 resolution entities report bail-in bond and capital shortfalls
CCAR more severe than EU stress tests
Real GDP decline greater for US banks under Fed tests than for EU firms grilled by the EBA
VAR models at odds on forex, commodities, credit risks – EBA
Interquartile distribution of VAR outputs highest for small banks, watchdog finds
Six EU banks need to fix market risk models – EBA
Nineteen firms underestimated capital requirements versus benchmarks
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios