Risk Quantum/European Central Bank (ECB)
Euro area NBFI derivatives spike as ECB flags systemic risks
Cross-border claims surge 32% in Q4, with ECB report suggesting activity concentrated among few G-Sibs
How window-dressing distorts US repo markets
Banks crush their repo balances periodically to massage systemic indicators, with far-reaching consequences for borrowing rates
ABN Amro shifts 70% of credit risk to standardised approach
RWA increase from portfolio migration in Q3 offset by regulatory add-ons removal
BNP Paribas poised for fresh G-Sib score cut via intra-EU waiver
Carve-out facing US pushback compressed bank’s cross-border footprint 51% in 2024
LBBW breaches leverage floor in EBA stress test
Adverse scenario would erode €229bn in CET1 capital across 64 banks
The VAR-centric models that never were
Often spotlighted, rarely dominant – VAR plays a surprisingly small role in most IMA stacks
Basel III spurs €62bn credit RWA reshuffle at Rabobank
Bank switched corporate portfolios from A- to F-IRB on eve of reforms’ January 1 go-live
EU bond funds’ debt securities see largest increase since pandemic
Holdings up €102 billion in November, driven by funds in Luxembourg, Ireland and France
Deutsche misses G-Sib surcharge cut despite EU score benefit
Carve-out of intra-bloc exposure lowers score below 230bp, but 1.5% surcharge remains
Italian funds snatch record €24bn debt securities in September
Mixed funds’ holdings jump by half as bond-only funds tick up 2%
Nordea’s credit RWAs surge €19bn as ECB approves new retail models
Revised risk-weightings for mortgages drive sharp rise in credit risk
GAR coverage misreporting widespread among top EU banks
Sabadell, OTB rectify reporting errors; Helaba backtracks to incorrect method
Euro area funds’ debt securities surged 13% in 2023
Investments vis-a-vis euro area issuers rebound after 2022 slump, driven by bond funds
ECB raised Pillar 2 charges for just three CRE-heavy banks in latest SREP
Pfandbriefbank and Luminor saw largest increases across 106 banks subject to 2023 assessment
Interbank lending plummets at major European banks
Reduced repo operations and TLTRO repayments among drivers
TLTRO hedge unwinding bill tops €1.2bn at BNPP, SocGen
Exit from swaps tripped up by ECB’s tightening marred banks’ 2023 throughout
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