Risk Quantum/European Central Bank (ECB)
BNP Paribas’s LCR hit record high in 2020 in wake of deposit glut
HQLA jumped 10% in Q4
At 40% of EU banks, credit risk own-funds deviate from benchmarks
Eleven banks lowballed capital requirements without justification in latest exercise
Euro banks’ trading activities pose lopsided risk to capital – ECB
Elevated downside risks to capital posed by net trading income
EU banks expect OTC trading conditions to tighten
Credit conditions had eased in Q3 and Q4 2020, but were expected to get tougher in Q1
Regulatory breaks strengthened EU banks’ CET1 ratios in 2020
In spite of Covid turmoil, top lenders improved their CET1 ratios by around 70bp on average
Model reviews imposed capital charges on top EU banks in Q4
Societe Generale incurred a -36bp hit to its CET1 ratio due to Trim
Four in five EU banks quizzed on credit risks in 2020
Covid panic exposed cracks in banks' credit models
ECB’s Covid capital relief boosted too-big-to-fail banks
Capital headroom increased 176%
EU banks’ reliance on ECB loans has grown in Covid’s wake
Central bank funding accounted for 14.5% of Greek banks’ liabilities in September
Margin calls on insurers, pension funds stoked MMF rout – ECB
Dutch firms accounted for huge share of VM payments in March
€STR transition stymied by addiction to Eonia – ECB
Notional outstanding OIS referencing outgoing rate has increased year-to-date
Capital cliff effect awaits EU banks as Covid support wanes
CET1 ratios have benefited from state intervention, but could drop sharply as measures expire