Risk Quantum/European Central Bank (ECB)
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
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
SEB’s market RWAs drop 20% as FX positions recede
Fall in currency exposures below EU’s threshold in Q4 reversed Skr5.3bn RWA hit from previous quarter
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios