European Banking Authority (EBA)
Shocks to the system: how Basel IRRBB update affects new EU test
Disclosures suggest more banks will be classified as outliers on net interest income assessment
JP Morgan SE allocates €318m for structural credit spread risk
Bank’s EU arm among first to disclose figure following EBA’s diktat on more granular monitoring of CSRBB
As risk of US Basel delay grows, Europe is in a bind over CVA
European Commission may postpone FRTB, but it’s hard to separate surgically from rest of framework
Isda pushes to ‘decouple’ Simm calibration from model changes
Emir 3.0 prompts effort to separate risk-weight revisions from methodology updates
False start: 13 EU banks miscalculate new GAR coverage metric
Unclear instructions, late guidance and poor font choices among reasons behind diverging interpretations from EBA’s template
Prop shops recoil from EU’s ‘ill-fitting’ capital regime
Large proprietary trading firms complain they are subject to hand-me-down rules originally designed for banks
EBA’s correlated currencies shake-up raises EU banks’ charges
Capital requirements for FX risk double after EUR/USD and other 196 pairs deemed no longer in sync
First green asset ratios come in low as EU banks protest methodology
ABN Amro only bank to break double digits in a sample of 23 lenders
EU watchdogs to launch prop trader capital review in April
Prop traders say bank-style IFR rules are driving them out, but doubt EBA will suggest changes
Emir 3.0 threatens lag for Simm revisions
New EU rules could stall changes aimed at improving risk sensitivity of industry margin models
European regulators turn up the heat on IFRS 9 model overlays
After warnings from EBA and BoE, risk managers urge ‘soul-searching’ on post-model adjustments
Tall order: why a unified op risk taxonomy is still elusive
Banks vary in how they classify operational risk losses – and regulators are in no rush to change the status quo
Basel’s cherry-picking toughens IRRBB shock scenarios
European banks want higher outlier thresholds to offset higher confidence level in new standard
Review of 2023: a hard road to a soft landing
Banks and regulators were caught in the crosswinds of the fight against inflation
Climate capital in the balance as EBA rejects green risk weights
European regulator suggests climate change must be factored into existing risk categories
Industry confused by EU’s ‘bingo card’ clearing rules
Uncertainty over definition of representative trades in Emir active account requirement
EU exposures carve-out cuts BNPP’s G-Sib surcharge once more
French bank remains sole beneficiary of intra-bloc cross-jurisdictional activity waiver for the second consecutive year
Climate risk overlays unnerve model-validation teams
Risk Live: Model risk managers fear they lack the data or skills to properly test expert judgement
EBA seeks to tighten up uneven prudent value adjustments
Regulator to consult ‘soon’ on changes to improve consistency of capital deductions
ABN Amro ditches op risk modelling
Dutch lender latest EU bank to switch to the standardised approach ahead of SMA introduction in 2025
EC to adopt NII outlier test within ‘weeks’
New IRRBB rules could come into force in early 2024; industry hoping EBA draft is softened
Party’s over as more banks drop internal models for market risk
At least three systemic banks in Europe intend to ditch IMA for capital requirements
Filling the gaps in Basel’s interest rate risk measures
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage
EU lawmakers converge on centralising Simm validation
Industry cautiously optimistic Council and Parliament will support EBA compromise