BBVA
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
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
HSBC leads global uptick in OTC derivatives clearing
Systemic banks cleared record €250 trillion in notionals in 2022
PacWest leads banks on NII growth decline
Deutsche Bank bucks positive European trend while NatWest leads UK negative growth in Q3
Share of op risk modelling falls at European banks
Less than half of analysed dealers rely on the AMA, as introduction of new standardised approach looms large
Bankers call for overhaul of EBA stress tests
Support for multiple scenarios, but only if fixed assumptions and variables are scaled back
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
European banks’ systemic indicators surged in 2022
Higher values for 10 of 14 systemic risk indicators could see capital surcharges increase later this year
Top EU banks’ OTC derivatives climbed 12% in 2022
All but two dealers report higher notional amounts, led by Crédit Agricole
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
Santander, Credit Suisse hit hardest by AOCI in Europe
Unrealised losses, mostly from exchange rate swings, shave huge chunks off CET1 capital
CaixaBank, UniCredit most exposed to rate increases in Europe
Banks report largest hits in IRRBB tests, but remain clear of fail threshold
ECB ratchets up Pillar 2 charges across top lenders
UniCredit, BNP Paribas, SEB and Swedbank worst-hit in latest SREP round
Handful of EU banks reap benefits from domestic exposure carve-out
BNP Paribas, ING Bank and UniCredit account for more than three-fourths of G-Sib score savings from favourable intra-EU risk calculation
European banks’ CVA RWAs up €2.2bn in Q3
Banco Sabadell, Intesa Sanpaolo and ING Bank reported largest quarterly increases
New risk indicator shifts EU’s G-Sib score heatmap
Revision in substitutability category inflates mid-sized banks’ score, lowers G-Sibs’
European banks’ aggregate LCR dips as outflows rise
Net cash outflows outpaced HQLAs, but liquidity reserves remain plump
Market risk capital relief could cut charges at 13 EU banks
EBA says Covid-style measures could be considered to tackle energy crisis
A chilly reception for climate risk capital
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
Ruble turmoil prompts calls to fix NDF contracts
Some market participants want to see offshore fixings as an option in all standard documentation
EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises