SocGen, ING most exposed to rate shocks among EU banks
Banks’ economic value of equity would shrink under higher rates scenarios
Societe Generale and ING Bank are the European systemic banks most at risk of an equity hit from rising interest rates, according to a Risk Quantum analysis.
As part of the interest rate risk in the banking book (IRRBB) framework, European Union banks are required to quantify the hit to the economic value of equity (EVE) – the net present value of cashflow assets and liabilities – across six rate-shock scenarios. If EVE drops by an amount higher than 15% of Tier 1 capital, the bank is flagged
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