European Central Bank (ECB)
EU Pillar 2 charges vary by country
Nordea leads large EU banks' with Pillar 2 requirement of 3.2% in 2018
Model woes swell ABN Amro RWAs
Trim and model reviews add €5 billion in risk-weighted assets
Now under aegis of ECB, Nordea RWAs spike 29%
Imposition of Swedish mortgage floor adds €10.6 billion of risk-weighted assets alone
Deutsche-Commerz merger would birth giant G-Sib
The combined bank would likely attract 2.5% G-Sib surcharge
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Euro term rate likely to be OIS-based, says RFR group chair
Committed quotes “the most viable methodology”, but some insist rate creates new risks
When bonds struggle, so does alt premia – research
Ties between alternative risk premia and fixed income closer than appreciated
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Model changes threaten 30% rise in Nordea's RWAs
Imposition of new risk weight floors will harm bank's capital ratio
National supervisors put pressure on global risk models
Varied supervisory and external audit demands stretch cross-border risk management
EU lawmakers open to delaying ban on critical benchmarks
MEPs propose two-year reprieve for Eonia and Euribor if contractual continuity is at risk
Day one of a no-deal Brexit: swaps and chaperones
Banks, trading platforms, repositories tee up EU entities – and dread the repapering crunch that would follow
EBA warns on funding stresses from QE exit
‘Mediterranean’ banks’ reliance on repo funding could be tested by withdrawal of stimulus
Banks to ask EC for delay of benchmarks rule
New ECB rate may appear only months before rules bar use of Eonia and Euribor
A third of eurozone banks fall short on IRB model standards
Twenty-one of 65 ECB-surveyed banks' internal model practices non-compliant with EU rules
EU infighting blocks Basel recognition of banking union
Treating eurozone as single jurisdiction could slash G-Sib capital, but the 19 member nations have differences to settle first
Dealers seek FRTB carve-out for Libor transition
Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor
Offshore Eonia? A weird idea for weird times
As pressure builds in the search for a new rate, some non-EU banks are looking at ways of keeping the existing one alive
Brexit, EU regulation and a new benchmark
The week on Risk.net, July 28-August 3, 2018
French banks’ leverage ratios rally on EU court win
Improvements of 10 to 30 basis points follow change to leverage measure
ECB looks to ‘accelerate’ Ester publication
Industry pleas to publish new risk-free rate earlier may be finally answered
Benchmark bother: Europe frets over new risk-free rate
Unsecured fixing from ECB faces off against two repo-based rates, as 2020 benchmark deadline looms large
EU banks toughen terms for OTC trades – ECB
Credit conditions for SFT and OTC derivatives tightened over past three months
BBVA gets forex model update from ECB
Foreign exchange risk added €366 million in capital requirements in 2017