European Banking Authority (EBA)
Keeping watch: EBA stress-testing head plans overhaul
Top-down approach, dynamic balance sheet and multiple shock scenarios all possible for 2022
Banks detect daylight between EC and EBA on op risk capital
EC consultation seeks input on ‘cliff effects’ of including past losses
Capital cut for synthetic securitisations splits regulators
European rulemakers wary of diverging from Basel standards
Borrower default estimates continue to improve at EU banks in Q2
Greek corporate creditworthiness improves the most of 39-country sample quarter-on-quarter
EU banks pare own-country sovereign exposures
Banks held €1.76 trillion of domestic government bonds in Q2 2019, down from €1.91 trillion a year ago
Greece leads EU on cutting toxic loans in Q2
Non-performing loan ratio of Greek banks falls to 39.2% from 44.8% a year ago
Gaming tests, loss provisions and synthetic Libor
The week on Risk.net, September 30–October 4, 2019
In stress-test window-dressing, timing is everything
EBA and Fed stress tests would have to be in perfect sync to stamp out transatlantic arbitrage
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
How banks game stress tests: the ‘shocking’ truth
Leaked memo exposes effort to swap out risky assets despite Fed’s push to end “window dressing”
How banks rode out the EU stress tests’ market shock in 2018
During the last round of tests, projected trading portfolio losses sapped 89 basis points off EU banks’ aggregate CET1 ratio
Floating start date for 2020 stress test alarms EU banks
Regulator proposal could lead to less reliable market risk data, critics warn
Watchdogs ask EC to delay repo haircut floors. Will it?
EBA says hedge funds will skirt the rules, but Basel and FSB want haircut minimums in place
Industry expects US FRTB proposals by year-end
Fed likely to co-ordinate progress with EU, which may also accelerate its timetable
Retained earnings power capital growth at top eurozone banks
Retained earnings increased €29.7 billion as part of CET1 at 16 large eurozone banks in two years to end-2018
When regulators become nationalists
EU’s new treatment of bank software assets is partly a response to global competitive pressures
Revealed: FRTB impact three times higher than expected
Undisclosed Isda study finds capital hike outweighs previous Basel Committee estimate
Peripheral EU banks free encumbered assets
Ratio of encumbered assets to total assets at Greek banks falls to 23.9% from 31.6%
EU public funds buoy Italian lenders
European facilities cover almost 10% of Italian bank funding
Europe’s regulators grope for value of software
In the US, the cost of software is not taken out of capital. Europe is fumbling for something similar
Uniform? Op risk capital rules go their own ways
Europe and Canada set to include historical losses in new standardised approach; Australia probably not
Credit data: no-deal Brexit threatens UK retail sector
Italian credits are improving, but banking sector is not out of the woods yet
Basel III op risk method a stronger guard against losses – EBA
Number and size of op risk loss overshoots relative to capital would have been lower under new standardised approach