I used the stress test data to compute the gap between the leverage ratio and the risk-weighted ratio (CET1 ratio). The ECB data offers the leverage ratio data inputs. To measure the ratios by country, I used the totals of A3 and A4 for the CET1 ratio and the totals for A3 and A5 for Leverage… Read More EU Leverage Ratio Gap
Same for the ECB data, the source data looks fancy, but here is one file with pivots and matching LEI-codes, so you can match with the EBA data.
The EBA’s stress test data is can be downloaded from their site, but it is spread around across several files. For your convenience, please click here for an Excel file that offers a flat file with combined data. Click here to download the same file, but with pivot tables for your convenience.
Today the EBA published some guidance for the upcoming stress test. Smart, thanks!
With the EBA and the ECB announcing results of the stress test and the AQR next week, and with feeble banks shivering, you may consider setting aside a couple of hours this week to read the terms and conditions of bank capital instruments. Maybe your investment in capital securities of EU banks is at risk, maybe not.… Read More Homework for the upcoming week: EU bank capital rules.
Today the Wall Street Journal reported on an alleged loophole in EU bank capital rules. The loophole pertains to deferred tax assets (DTAs), a regulatory area where tax rules and accounting rules meet. Apparently some countries exploit a DTA loophole: Italy, Spain, Portugal and Greece. Uh oh, these countries, the usual suspects. There is something really wrong here.… Read More The Italian DTAs