Featured Product

    ECB Issues Paper Mapping Bank Securities Across Euro Area Sectors

    April 26, 2019

    ECB published a working paper that presents new evidence on the structure of euro area securities markets using a multilayer network approach. The paper utilizes a unique dataset of banking sector cross-holdings of securities to map these exposures among banks and economic and financial sectors. The analytical approach presented in the paper is highly relevant for the design of appropriate prudential measures, since it supports the identification of counterparty risk, concentration risk, and funding risk within the interbank network and the wider macro-financial network.

    This paper combines the European Central Bank (ECB) Securities Holdings Statistics by Group (SHSG) with the ECB Securities Holdings Statistics by Sector (SHSS) as well as the Centralized Securities Database (CSDB) to build an interbank network of large euro area banking groups and then extends it to a macro-financial network including sectoral exposures of banks, further broken down by euro area country. The focus is on the 26 largest euro area banking groups, for which exact network of securities cross-holdings is available. The paper presents the multilayer network model of large euro area banks and descriptive statistics on the topology of the network layers. The layers are broken down by key instruments and maturities as well as the secured nature of the transaction. The paper provides a detailed analysis of the funding and exposure network of large euro area bank and helps in analyzing the potential for contagion in the macro-financial network. Granular information about the individual exposures is crucial to monitor and assess contagion risk among banks and the wider macro-financial system,. 

     

    Related Link: Working Paper (PDF)

     

    Keywords: Europe, EU, Banking, Securities, Multilayer Network, Interbank Networks, Macro-Prudential Analysis, Concentration Risk, Research, ECB

    Related Articles
    News

    EC Rule on Contractual Recognition of Write Down and Conversion Powers

    The European Commission (EC) published the Delegated Regulation 2021/1527 with regard to the regulatory technical standards for the contractual recognition of write down and conversion powers.

    September 17, 2021 WebPage Regulatory News
    News

    APRA Issues Further Guidance on Application of Securitization Standard

    The Australian Prudential Regulation Authority (APRA) published a new set of frequently asked questions (FAQs) to provide guidance to authorized deposit-taking institutions on the interpretation of APS 120, the prudential standard on securitization.

    September 16, 2021 WebPage Regulatory News
    News

    SRB Provides Update on Approach to Prior Permissions Regime

    The Single Resolution Board (SRB) published a Communication on the application of regulatory technical standard provisions on prior permission for reducing eligible liabilities instruments as of January 01, 2022.

    September 16, 2021 WebPage Regulatory News
    News

    APRA Publishes FAQs on Capital Treatment of Overseas Subsidiaries

    The Australian Prudential Regulation Authority (APRA) published a new set of frequently asked questions (FAQs) to clarify the regulatory capital treatment of investments in the overseas deposit-taking and insurance subsidiaries.

    September 15, 2021 WebPage Regulatory News
    News

    EBA Finalizes Guidance to Assess Breaches of Large Exposure Limits

    The European Banking Authority (EBA) published the final report on the guidelines specifying the criteria to assess the exceptional cases when institutions exceed the large exposure limits and the time and measures needed for institutions to return to compliance.

    September 15, 2021 WebPage Regulatory News
    News

    PRA Finalizes Changes to Consolidated Prudential Rules Under CRD5/CRR2

    The Prudential Regulation Authority (PRA) issued the policy statement PS20/21, which contains final rules for the application of existing consolidated prudential requirements to financial holding companies and mixed financial holding companies.

    September 15, 2021 WebPage Regulatory News
    News

    EBA Revises Guidelines on Stress Tests of Deposit Guarantee Schemes

    The European Banking Authority (EBA) revised the guidelines on stress tests to be conducted by the national deposit guarantee schemes under the Deposit Guarantee Schemes Directive (DGSD).

    September 15, 2021 WebPage Regulatory News
    News

    Nordea Bank and EIB Sign Agreement to Fund Green Projects in Nordics

    The European Commission (EC) announced that Nordea Bank has signed a guarantee agreement with the European Investment Bank (EIB) Group to support the sustainable transformation of businesses in the Nordics.

    September 15, 2021 WebPage Regulatory News
    News

    HKMA Endorses Industry Guidance to Support LIBOR Transition

    The Hong Kong Monetary Authority (HKMA) issued a circular, for all authorized institutions, to confirm its support of an information note that sets out various options available in the loan market for replacing USD LIBOR with the Secured Overnight Financing Rate (SOFR).

    September 14, 2021 WebPage Regulatory News
    News

    OCC Issues Booklet on Supervision of Problem Banks

    The Office of the Comptroller of the Currency (OCC) issued a new "Problem Bank Supervision" booklet of the Comptroller's Handbook. The booklet covers information on timely identification and rehabilitation of problem banks and their advanced supervision, enforcement, and resolution when conditions warrant.

    September 13, 2021 WebPage Regulatory News
    RESULTS 1 - 10 OF 7481