Risk Quantum/European Central Bank (ECB)
EU’s model study finds problems with bank VAR methods
Banks surveyed by the ECB had an average of 32 issues with their market risk models
Easing of euro OTC trade terms anticipated – ECB
Financial strength of counterparties and competitive pressures could cause easing
Derivatives assets soar at eurozone insurers
Surge in values near year-end hint at hedging gains
EU Pillar 2 charges vary by country
Nordea leads large EU banks' with Pillar 2 requirement of 3.2% in 2018
Model woes swell ABN Amro RWAs
Trim and model reviews add €5 billion in risk-weighted assets
Now under aegis of ECB, Nordea RWAs spike 29%
Imposition of Swedish mortgage floor adds €10.6 billion of risk-weighted assets alone
Deutsche-Commerz merger would birth giant G-Sib
The combined bank would likely attract 2.5% G-Sib surcharge
Model changes threaten 30% rise in Nordea's RWAs
Imposition of new risk weight floors will harm bank's capital ratio
A third of eurozone banks fall short on IRB model standards
Twenty-one of 65 ECB-surveyed banks' internal model practices non-compliant with EU rules
French banks’ leverage ratios rally on EU court win
Improvements of 10 to 30 basis points follow change to leverage measure
EU banks toughen terms for OTC trades – ECB
Credit conditions for SFT and OTC derivatives tightened over past three months
BBVA gets forex model update from ECB
Foreign exchange risk added €366 million in capital requirements in 2017
Nordea plumps bail-in buffers as it moves to Finland
Nordic bank plans €10 billion senior non-preferred debt issue by 2021