Risk Quantum/European Central Bank (ECB)
Euro area funds’ debt securities surged 13% in 2023
Investments vis-a-vis euro area issuers rebound after 2022 slump, driven by bond funds
Rabobank LCR down 7% on TLTRO prepayments
Decline expected to continue as bank pays off final loans extended via EU-wide funding scheme
Loss of ruble volatility waiver costs UniCredit €2.2bn in RWAs
Lender forced to capitalise FX risk from Russian operations after ECB withdraws key exemption
EU exposures carve-out cuts BNPP’s G-Sib surcharge once more
French bank remains sole beneficiary of intra-bloc cross-jurisdictional activity waiver for the second consecutive year
KBC takes €8.2bn RWA add-on post ECB model review
Regulatory intervention and share buyback contribute to sink bank’s core ratio to lowest point since 2016
Commerzbank’s rate-shock loss sensitivity rises 33%
Bank’s liabilities modelled to reprice faster than assets in a 200bp parallel hike scenario
Nordic banks’ RWAs rise $9bn on Swedish risk-weight floor rejig
Constraints on real-estate exposure modelling result in Pillar 2 charges moving to Pillar 1 requirements
BNP Paribas, SocGen brace for more hits from TLTRO hedge unwinds
Duo expect combined €600m in losses after already booking €500m in first quarter
BNP Paribas takes €403m hit unwinding TLTRO hedges
Tightening of ECB facility’s terms throws wrench into interest rate risk strategy