European Banking Authority (EBA)
Fed defies coronavirus to push ahead with stress test
US diverges from Europe and forces banks to juggle CCAR with real-life operational burden
EU banks face near €18bn capital shortfall through output floor
Twenty-one out of 51 banking groups surveyed would be constrained by the output floor
Splits emerge over EBA’s stress test 2.0
Experts question utility of separate bank leg that won’t feed into capital requirements
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Systemic EU banks’ bail-in requirements vary
One G-Sib resolution group has an MREL requirement of 32.8% of RWAs
EU banks short €178bn of MREL requirements
117 resolution entities report bail-in bond and capital shortfalls
EBA: end ‘tick box’ approach to money laundering in EU
First EBA report on national supervisors’ AML/CFT approach finds many agencies failing to co-operate
CCAR more severe than EU stress tests
Real GDP decline greater for US banks under Fed tests than for EU firms grilled by the EBA
VAR models at odds on forex, commodities, credit risks – EBA
Interquartile distribution of VAR outputs highest for small banks, watchdog finds
Six EU banks need to fix market risk models – EBA
Nineteen firms underestimated capital requirements versus benchmarks
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
EU’s 2020 stress tests are toughest to date
Real GDP projected to contract –4.3% over three-year scenario horizon
Trading’s share of EU bank income shrinks in Q3
French banks boasted highest share of income from trading, at 24%
Cyber risk tops EBA poll of operational risks
Bank analysts say money laundering, conduct and legal risk are pressing challenges, too
Derivatives expand share of EU bank assets in Q3
Valuation effects likely behind consecutive quarter increases in these instruments’ portfolio share
US sidetracks bid to end European CVA exemption
Fed’s change to SA-CCR capital renews EU industry calls to preserve carve-out
HSBC leads EU banks on VAR measures
In aggregate, IMA risk exposures focused on traded debt
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
SocGen leads EU banks on trading asset gains – EBA
Almost three-quarters of H1 2019 income came from gains on trading assets at French bank
Own-country risk makes up 42% of EU bank sovereign exposures
Polish, Estonian and Romanian banks most exposed to home governments
Op risk modelling limited to largest EU banks
Smallest banks do not use AMA at all
IFRS 9 transitional measures saved EU banks €22bn
Four Greek banks claim €1.2 billion of capital relief on average
Yield-hungry investors shirk bail-in bond buffet
Banks fear the buy-side’s appetite for MREL debt is on the wane
The backlash against green weightings
Banks get a lot of flak for not doing enough to mitigate climate risks