European Banking Authority (EBA)
FSB debates how to fit climate risk into capital rules
Regulators ponder whether climate risk needs new RWAs or recalibration of existing ones
ECB’s stress capital buffer still a ‘black box’ – banks
National regulators retain wide latitude to set Pillar 2 Guidance under new rules
EU banks eye debt issuance as central bank funding winds down
The projected increase would not be sufficient to replace TLTROs maturing in 2023, EBA report finds
Green bonds risk failing TLAC test
Europe’s banks – in their scramble to issue ethical debt – butt up against tough rules on loss-absorbing capital
Cleared portfolios surge at EU G-Sibs
Systemic banks post highest share of cleared trades in seven years, as IM phases five and six approach
Climate risk-weights a ‘terrible idea’ for aiding transition
Carbon pricing and direct regulation of top emitters seen as better approach
Crédit Agricole grew OTC derivatives notionals 17% in 2020
Bank pulls ahead of SocGen as third-largest European derivatives bank but risks incurring a higher G-Sib score
Securities market frenzy drives up mid-sized European banks' systemic risk
Nordea’s underwriting activity jumped by almost 7,000% in 2020
EU banks get first taste of new stress test-driven buffer regime
Of the 50 stress-tested lenders, three would fall into the highest Pillar 2 Guidance bucket
Systemic indicators surged at European banks in 2020
Values used for 10 of 12 systemic risk indicators climb year-on-year
EU stress tests: market risk cuts 107bp off average bank’s CET1
SocGen, Deutsche and UniCredit the hardest hit among EU systemic banks
EU stress tests: BNP Paribas would bear brunt of trading losses
Losses from held-for-trading balance sheet would wipe out fair value book gains
EU banks forced to up collateral for ETDs in Q4 2020
Over-collateralisation of liabilities jumps to highest since March 2020
ECB sees slim gains, larger losses if EU tweaks Basel III
Staff paper says using parallel stack output floor would push up funding costs longer-term
Covid-forborne loans default en masse in EBA stress test
13.4% of ex-moratoria exposures in ‘stage three’ default at 2023 test end-point
EBA guidelines on IRB boosts Danske’s credit RWAs
The bank expects further increases in the second half of the year after adding $3.17 billion in Q2
EBA to consult on banks’ machine learning use
Watchdog will set out stance on ML-based capital models amid conflicting guidance from supervisors
Covid-forborne EU loans sour faster as more exit moratoria
Exposures classified as stage two rose 37% in the first three months of 2021
EU still undecided on how to implement minimum repo haircuts
Concerns over non-bank leverage may derail push to include haircuts in bank capital rules
EU banks’ credit risk estimates stabilised at year-end
Weighted average corporate borrower PD across countries climbed to 2.15%
Own-country risk makes up 51% of EU bank sovereign portfolios
Home government exposures up seven percentage points in 2020
EU banks saw distressed loans heap up in Q4
‘Stage two’ assets make up 9.1% of banks’ total
Most EU banks use historical simulation approach to VAR
Few lenders favour Monte Carlo or parametric methodologies
At 40% of EU banks, credit risk own-funds deviate from benchmarks
Eleven banks lowballed capital requirements without justification in latest exercise