European Banking Authority (EBA)
Making the cut: EU eyes Isda’s carbon trading proposals
EBA fears suggested treatment of emissions would be misaligned with rest of FRTB
IMA to retain large role in setting market risk capital post-FRTB
Gyrations over 2020 mean a bigger share of market risk requirements could be underpinned by internal models post-reform
Basel III heralds 41% op risk jump for EU banks
Capital requirements set to rise almost 88% for those G-Sibs that don’t currently use the AMA
EC expected to apply output floor at group level only
‘Parallel stacks’ proposal unlikely to appear in first draft of CRR III, due next month
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%