ECB

ECB, machine learning, nowcasting

Researchers from the European Central Bank propose a granular framework that makes use of advanced statistical methods to approximate developments in economy-wide expected corporate earnings. In particular, they evaluate the…

Momentum builds on climate risk stress tests

November 30, 2020

Climate Risk, ECB, Federal Reserve, Regulatory

BPI, climate change, ECB, Federal Reserve, topstory

Finadium research clients are invited to join our December 8, 2020 webinar, Climate Risk Accounting – Rationales, Methodologies and What to Expect. Continue reading

ECB: banks to start self-assessment reporting for climate risk in early 2021

November 27, 2020

banks, climate risk, ECB

European Central bank (ECB) publishes final guide after considering comments from public consultation Banks to perform self-assessment on ECB expectations in early 2021 ECB to fully review banks’ practices in…

ECB working group on euro risk-free rates consults on Euribor fallbacks

November 23, 2020

€STR, ECB, EURIBOR, fallbacks, FIX Orchestra, RFRs

Various fallback rates proposed, based upon the euro short-term rate (€STR) Potential events described that could trigger fallbacks Stakeholders asked to provide their views by 15 January 2021 The working…

ECB picks Italy’s SIA and UK’s Colt to link Eurosystem market infrastructure

November 19, 2020

Colt, ECB, ESMIG, SIA, T2S

SIA, the European payments giant, has been chosen by the European Central Bank (ECB), in partnership with Colt Technology Services, for its link to the Eurosystem’s market infrastructure through a…

ECB announces independent review of payments system outage

November 16, 2020

ECB, T2S, technology

Independent review to be launched on payments infrastructure TARGET2 incident on 23 October 2020 caused outage lasting almost 10 hours Findings of the review to be published by the second…

ECB’s SESFOD reports credit T&Cs ease, secfinance and derivatives valuation disputes decrease in September

November 4, 2020

ECB, SESFOD

The European Central Bank released results of the September 2020 survey on credit terms and conditions in euro-denominated securities financing and over-the-counter derivatives markets (SESFOD). Easing of overall credit terms…

Global Capital: debate on whether the ECB should remove repo-eligible securities on environmental grounds

October 29, 2020

collateral, ECB, environmental finance, Repo

From the author’s website, Anthopocene Fixed Income Institute: We opine that it is illogical for the European Central Bank to effectively provide cost-of-capital subsidies for the Canadian province of Alberta…

Bloomberg: ECB T2S interruption reduced bank deposits by €416 Billion

October 28, 2020

Bloomberg, ECB, T2S

A glitch in the European Central Bank’s system for settling large-value payments by commercial and central banks has resulted in a drop in deposits worth more than 400 billion euros…

ECB delays launch of Eurosystem Collateral Management System (ECMS) to November 2023

October 26, 2020

collateral management, ECB

The Governing Council of the ECB has decided to reschedule the launch of the Eurosystem Collateral Management System (ECMS) from November 2022 to November 2023. This development follows the Governing…

ECB working paper: Money markets, central bank balance sheet and regulation

October 26, 2020

ECB, Europe, Money Markets

This paper analyses money market developments since 2005, and examines factors that have affected money market functioning. We consider several metrics of activity in both secured and unsecured euro area…

ECB working paper finds direct relationship between ECB refinancing operations rate and bank default risk

October 12, 2020

ECB, Repo

The (unobservable) value of central bank’s refinancing operations Ugo Albertazzi, Lorenzo Burlon, Tomas Jankauskas, Nicola Pavanini We quantify the impact that central bank refinancing o perations a nd f unding…

ECB stats show increase in capital and liquidity ratios, NPL ratio at record low in Q2

October 6, 2020

capital ratios, ECB, liquidity ratios

The European Central Bank published supervisory banking statistics for the second quarter of 2020. Capital ratios of significant institutions increase in second quarter of 2020, with aggregate total capital ratio…

ECB intensifies its work on a digital euro

October 2, 2020

CBDC, ECB, Euro, retail

Publication of Eurosystem High-Level Task Force report on digital euro Eurosystem needs to be ready for possible future decision to introduce digital euro Public consultation and experimentation to be launched…

ECB publishes statement of compliance of €STR with IOSCO Principles

September 30, 2020

€STR, ECB, IOSCO

Statement explaining how ECB administers €STR Compliance of the ECB with IOSCO (International Organization of Securities Commissions) Principles, and therefore with international best practice, in its administration of €STR Independent…

ECB changing acceptable collateral framework

September 28, 2020

ECB amends monetary policy implementation guidelines ECB phasing out secured marketable assets other than asset-backed securities, legislative covered bonds and multi-cédulas as collateral Application process and acceptance criteria for external…

ECB to accept sustainability-linked bonds as collateral in 2021

September 22, 2020

ECB, ESG, Green Bonds

Bonds with coupons linked to sustainability performance targets to become eligible as central bank collateral Potential eligibility also for asset purchases under the APP and the PEPP subject to compliance…

ECB helps bank Leverage Ratios but doesn’t address the bigger Basel challenge (Premium)

September 22, 2020

Basel III, Regulatory

ECB, Leverage Ratio, Supplementary Leverage Ratio, topstory

The European Central Bank (ECB) announced last week that it would temporarily exempt central bank assets of supervised banks from the Basel III Leverage Ratio. This decision will free up…

ECB publishes report on reducing reporting burden, increasing data quality

September 21, 2020

data management, EBA, ECB, ECSB, regulatory reporting

Smarter and standardized reporting procedures proposed to reduce banks’ reporting costs Banking industry involvement in improving procedures needed The European Central Bank (ECB) published the European System of Central Banks’…

ECB finalizes guide to assessing how banks calculate counterparty credit risk

September 18, 2020

counterparty credit, CVA, ECB

Guide shows how ECB assesses compliance of banks’ counterparty credit risk models with regulatory requirements Final publication follows public consultation in February and March 2020 The European Central Bank (ECB)…

Barclays: ECB Leverage Ratio relief not a game changer for euro short rates

September 17, 2020

€STR, Barclays, ECB, Leverage Ratio

The ECB Banking Supervision’s decision limits the impact of banks’ balance sheet expansion due to the big reserves increase on their lending activity and market intermediation. Barclay analysts do not…

ECB allows temporary relief in banks’ leverage ratio until late June 2021

September 17, 2020

COVID-19, ECB, Leverage Ratio

ECB Banking Supervision exercises regulatory discretion declaring exceptional circumstances Measure allows banks to exclude central bank exposures from leverage ratio Banks to benefit from relief measure until 27 June 2021…

ECB’s SESFOD reports collateral liquidity deterioration, valuation disputes in record acceleration in June

August 21, 2020

collateral, ECB, Initial Margin, OTC derivatives, SESFOD

Results of the June 2020 survey on credit terms and conditions in euro-denominated securities financing and over-the-counter derivatives markets (SESFOD) Most widespread tightening of credit terms over three-month review period…

Major central banks reducing frequency of 7-day USD liquidity operations on low demand

August 20, 2020

Bank of Japan, BoE, Central Banks, dollar liquidity, ECB, Swiss National Bank

ECB and other major central banks to reduce frequency of 7-day US dollar operations from three times per week to once per week, while 84-day operations continue to be offered…

ECB: Liquidation Value and Loan Pricing: Evidence From Repo Markets

August 19, 2020

collateral, ECB, Repo

Francesca Barbiero European Central Bank (ECB) Glenn Schepens ECB -Financial Research Division Jean-David Sigaux European Central Bank (ECB) We show that the liquidation value of collateral depends on who is…

How European authorities plan to analyze SFTR data (Premium)

August 19, 2020

Securities Lending, Technology

Big Data, data analysis, ECB, SFTR, topstory

In the four weeks since SFTR (Securities Financing Transactions Regulation) reporting began, each week has seen over 1 million transactions reported, with a total SFT cash value of some $17…

New Eurosystem repo facility to provide euro liquidity to non-euro area central banks

June 25, 2020

ECB, Repo

Eurosystem repo facility for central banks (EUREP) introduced as precautionary backstop to address pandemic-related euro liquidity needs outside euro area EUREP to allow broad set of central banks to borrow…

ECB postpones T2-T2S consolidation project

June 24, 2020

ECB, T2S

Following requests by the European financial community, the Market Infrastructure Board has reviewed the timeline of the T2-T2S consolidation project and has concluded that postponing its go-live by one year,…

What drove US and EU government repo rates last week (Premium)

June 8, 2020

ECB, Federal Reserve, Repo

ECB, EU, Federal Reserve, GCF Repo, IOER, RepoFunds Rate, topstory, US

It can be hard to track the rationale behind government repo market pricing around the world, especially in the face of massive central bank intervention. In a new development, one…

ECB’s SESFOD: financing collateralized by euro-denominated securities continues downtrend

May 20, 2020

coronavirus, ECB, non-cash collateral, SESFOD

The European Central Bank has released the results of the March 2020 survey on credit terms and conditions in euro-denominated securities financing and over-the-counter derivatives markets (SESFOD). Credit terms remained…

ECB’s Mersch on CBDC task force priorities: wholesale is BAU while retail is game-changer

May 11, 2020

CBDC, ECB, wholesale CBDC, Yves Mersch

A recent survey among 66 central banks by the Bank for International Settlements shows that more than 80% are working on central bank digital currencies (CBDCs) and the European Central…

ECB Banking Supervision provides temporary relief for capital requirements for market risk

April 16, 2020

capital requirements, coronavirus, ECB, Market Risk

ECB temporarily allows lower capital requirements for market risk Move aims to maintain market-making activities and market liquidity ECB to review decision after six months The European Central Bank (ECB)…

Secured and Unsecured Funding: The Drive Towards Cross-Product Settlements Automation

April 9, 2020

Tim Martins

Europe, Repo

depo trading, ECB, Europe, MTS Markets, Repo, T2S, topstory

As the funding profile of European banks continues to mature, MTS finds that a diversity of product types across secured and unsecured are still necessary and in use. There is…

ECB announces package of temporary collateral easing measures

April 8, 2020

collateral, coronavirus, ECB

ECB adopts an unprecedented set of collateral measures to mitigate the tightening of financial conditions across the euro area Temporary increase in the Eurosystem’s risk tolerance in order to support…

Panetta: ECB could expand list of intermediaries for refinancing operations

March 20, 2020

coronavirus, ECB, Fabio Panetta

In an interview with Italian daily Corriere della Sera, Fabio Panetta, member of the Executive Board of the European Central Bank, answered questions on market conditions. Q: Can you explain…

Working group on euro risk-free rates seeks feedback on Swaptions impacted by transition from EONIA to the €STR

March 13, 2020

€STR, ECB, Eonia

The CCP discounting switch from EONIA to the €STR, planned for June 2020, will raise specific issues for swaption products if the exercise date of these contracts is after the…

ECB Banking Supervision provides temporary capital and operational relief in reaction to coronavirus

March 12, 2020

ECB, LCR, Stress Capital Buffer

Banks can fully use capital and liquidity buffers, including Pillar 2 Guidance Banks will benefit from relief in the composition of capital for Pillar 2 Requirements ECB to consider operational…

ECB announces additional LTROs among monetary policy measures

March 12, 2020

The ECB Governing Council decided on a comprehensive package of monetary policy measures: (1) Additional longer-term refinancing operations (LTROs) will be conducted, temporarily, to provide immediate liquidity support to the…

ECB announces pan-European cyber threat network for financial infrastructures

February 27, 2020

cybersecurity, ECB

A group of Europe’s largest financial infrastructures, members of the Euro Cyber Resilience Board for pan-European Financial Infrastructures (ECRB), chaired by the European Central Bank (ECB), launched an initiative to…

ECB working group issues recommendations for EONIA transfer to €STR

February 20, 2020

€STR, benchmark reform, ECB, Eonia

The private sector working group on euro risk-free rates has published a report on the transfer of liquidity from EONIA’s cash and derivatives products to the €STR. The report supplements…

Global repo news: Sweden’s Riksbank goes positive, the Fed wants out and China keeps liquidity going

February 13, 2020

Repo

ECB, Federal Reserve, People's Bank of China, Repo, Riskbank, topstory

Repo continues to be a main attraction for policy makers, investors and reporters. The last week has seen notable moves on the global repo stage around the world, including at…

ECB SESFOD survey shows stronger demand for funding across all types of collateral except high-yield corporate bonds

February 11, 2020

ECB, securities finance, SESFOD

Results of the December 2019 survey on credit terms and conditions in euro-denominated securities financing and over-the-counter derivatives markets (SESFOD) Credit terms broadly unchanged for almost all counterparties Most types…

ECB details capital plans as Bank of England leaves

January 30, 2020

Bank of England, Brexit, ECB

The ECB welcomed ratification of an agreement on orderly UK withdrawal from the European Union, and said that subscribed capital is expected to remain steady after Bank of England leaves…

Central banks consider new growth tools amid coronavirus worries

January 28, 2020

China, ECB, Federal Reserve, Interest rates, Regulatory

China, coronavirus, ECB, Federal Reserve, monetary policy, topstory

The Fed may be looking at the end of its already broadened toolkit for boosting growth. The ECB is considering all of its policy options while expressing frustration with politicians.…

ECB launches review of its monetary policy strategy

January 24, 2020

Review will encompass quantitative formulation of price stability, monetary policy toolkit, economic and monetary analyses and communication practices Other considerations, such as financial stability, employment and environmental sustainability, will also…

Central banks to assess potential cases for digital currencies

January 21, 2020

Bank for International Settlements, Bank of Canada, Bank of England, CBDC, ECB, Sveriges Riksbank, Swiss National Bank

The central banks of Canada, UK, Japan, Europe, Sweden and Switzerland, together with the Bank for International Settlements (BIS), have created a group to share experiences as they assess the…

Variable €STR volumes make us wonder about other European benchmarks (Premium)

January 20, 2020

ECB, ESTR, Europe, Interest rates, SONIA, UK

€STR, Benchmarks, ECB, SONIA, topstory

Volumes in €STR, the European Central Bank reference rate launched in October 2019, have been variable since the launch. Although the initial expectation was that €STR would see 36,000 transactions…

ECB: how central banks can absorb liquidity risk from shadow banking

January 6, 2020

Central Banks, ECB, Shadow Banking

ECB Working Paper Series Unconventional monetary policy and funding liquidity risk No 2350 / January 2020 This paper investigates the efficiency of various monetary policy instruments to sta- bilize asset…

ECB exploring anonymity in central bank digital currencies

December 19, 2019

CBDC, data privacy, ECB

Under the coordination of the ECB, the European System of Central Banks (ESCB) has established a proof of concept for anonymity in digital cash, aka central bank digital currency (CBDC),…

ECB: The impact of central bank liquidity support on banks’ balance sheets

November 14, 2019

Central Banks, ECB, Liquidity