European Banking Authority (EBA)
Covid hammered CEE banks’ capital ratios
One-quarter of EU banks have CET1 ratios below 13%
Severe Covid recession could topple some EU banks
One-quarter of lenders would see CET1 ratios fall below 6.8%
Dealers eye model change to cure CVA capital headache
With hopes of EU regulatory carve-out fading, some banks are taking matters into their own hands
Synthetics sweetener teases European banks
As structural woes resolve, regulators remain split on preferential capital treatment for STS deals
European regulator U-turns on synthetic securitisations
Deals with use-it-or-lose-it mechanism can qualify for capital relief, EBA policy expert says
Prudential filters crimp some banks’ own funds, boost others
Two banks saw CET1 climb more than 5% at end-2019 through the EU’s valuation adjustments
Niche EU lenders loaded with loans to peripheral eurozone
Top European banks have limited exposures to Greece, Cyprus, Spain, Portugal and Italy
EU bank credit models neglect peripheral countries
A majority of non-core EU exposures are under the standardised approach
French, UK banks have largest trading portfolios in Europe
Fair value and HFT assets concentrated among biggest banks
Hard-to-value assets abound at Nordic banks
Level 3 assets make up 25% of Norwegian firms’ fair value portfolios
Greek, Italian banks lead EU on IFRS 9 capital relief
Intesa Sanpaolo saw CET1 capital add-in of €2.6 billion
Own-sovereign risk higher in peripheral eurozone countries
Portuguese, Greek, Italian, Irish and Spanish banks have 51% of their sovereign portfolios invested in domestic debt
Regulators and banks clash on FRTB capital impact study
Basel and EBA call out two banks for using “overly conservative” survey assumptions
EU banks’ liquidity buffers weathered Covid turmoil
Central bank cash reserves edge up across EU lenders
ECB lays foundations for climate risk capital charge
New guide will influence capital management, but pillar two charges likely to await EBA report
EBA relaxes modellability hurdles for market risk capital
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
EU market risk relief targets VAR measures
Dealers with a large percentage of their total capital set using value-at-risk stand to benefit most
EU banks diversified sovereign holdings in 2019
Yet banks in peripheral eurozone countries still heavily exposed to home government risk
Output floor cliff edge effects threaten EU banks
Capital measure to have uneven impact across five-year phase-in
Many EU banks have dollar LCR shortfalls
Twenty-two surveyed banks had USD LCRs below 100% as of June 2019
EU banks seek FRTB delay, citing ‘strain’ of virus
Firms want leeway to fight market mayhem, minus burden of new reporting rules
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