Comments on RBNZ’s second capital review paper: What should qualify as bank capital?

The RBNZ wants to redefine capital. My comments are below. In short: don’t let perfection be the enemy of the good. The RBNZ runs the risk of achieving just what it does not want by going it alone. A DIY-definition of capital makes the Reserve Bank vulnerable to structuring. Moreover, the problems signalled by the Reserve […]

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 […]

The EBA Stress Test Data in Handy Format

Please find here the EBA 2016 stress test data in a handy format that allows quick comparison with data of the 2015 Transparency exercise. This allows you to compare data from December 2014 to December 2015. I stuck to only the data from the “Other” template, but it does cover all scenarios. I replaced variable […]

That feeling when you notice that EU leverage ratio requirements are at risk

This week, the EBA and BCBS published the Basel III monitoring results. They show a further improvement of European banks’ capital positions, largely fulfilling the future regulatory capital requirements, with only a very small number of banks suffering from potential capital shortfalls. I found Figure 9 of the EBA report interesting. It shows the evolution […]

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 […]

FYI some documentation on the Leverage Ratio for EU banks

My post on EU leverage ratios yesterday attracted some comments on twitter, which may haven been triggered by misunderstandings. The CRR offers a short and clear summary of the Leverage Ratio definition in Article 429.1: “The leverage ratio shall be calculated as an institution’s capital measure divided by that institution’s total exposure measure and shall […]

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. […]

Yay! EBA presents the 2015 EU-wide transparency exercise results

Today, the EBA presented the 2015 EU-wide transparency exercise results. I am reading the data, which shows improvements in the resilience of the EU banking sector, covers around 70% of total EU banking assets for the reference dates of 31 December 2014 and 30 June 2015. (Some banks have not even published their capital positions […]

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 […]