Sovereign Holdings by EU Banks

The EBA just published the results of the 2016 transparency exercise. Yay! The EBA decided to deliver on its promise to present more detailed data of individual banks. (I hope the EBA now forgives me for posting a critical note on their bank disclosure plans earlier this year.) I toyed a bit with the data […]

EBA updates its Risk Dashboard

The European Banking Authority (EBA) published today the periodical update to its Risk Dashboard summarizing the main risks and vulnerabilities in the banking sector on the basis of the evolution of a set of Risk Indicators (RI) across the EU. You really have to critically analyse this report, as it contains mixed messages on the capitalization […]

Is the European Commission phasing out MREL?

It spooked the markets for good reasons, but the leaked EC document on the merger of TLAC and MREL did not receive the attention that it deserves. Yes, Reuters reported on the leaked Information Note from the Commission Services for the European Commission Expert Group on Banking, Payments and Insurance. However I am not sure […]

Dutch CET1 and Leverage ratios

The EBA transparency exercise results offer a wealth of data. They will keep researchers busy for some months to come. The table below shows a couple of highlights, where all numbers are in %, and the data is sorted on 2015 Leverage ratio values: CET1 and Leverage Ratios are increasing. This is encouraging for sure. […]

Five years after the first Basel III coco issuance, the Netherlands “gets” CoCos.

Uh oh, Jeroen Dijsselbloem form the Netherlands got into rough water this week: Dutch newspaper NRC had a nice scoop that showed how he relied on ING word smiths for writing a tax rule that renders bank capital instruments (CoCos) tax deductible, see full freedom of information documentation here. How bad is this? End 2013, […]

Good luck harmonising European bank capital!

Following up on my post of some days ago on Europe’s efforts to harmonise bank capital, it dawned upon me that this harmonisation plan will probably not go well. Today, Danièle Nouy confirmed there will be a consultation on ECB’s efforts to harmonise Options and National Discretions (ONDs) in the CRR. Consultation, consultation, consultation. Mind […]

In defence of bank DTAs

Over the last weeks, the issue of bank Deferred Tax Assets (DTAs) came up again. What does not really help ending this story is the confusion on the subject of DTAs. Let me make a stab in trying to end the DTA confusion. Here are some snippets that from various news sources that I gathered. […]

Greek Banks and Article 92 CRR

Silvia Merler published a great post on the solvency of Greek banks. Though she focuses on CET1 ratios, I just realised that Article 92 of the CRR requires this: 1.   Subject to Articles 93 and 94, institutions shall at all times satisfy the following own funds requirements: (a) a Common Equity Tier 1 capital ratio […]