Risk Quantum/ABN Amro
Loan-loss provisions take a smaller bite out of EU banks in Q3
Set-asides fell 57% quarter on quarter
Barclays led European banks on derivatives notionals in 2019
Deutsche Bank cut notionals 10% last year
ABN Amro crushes CVA charge with index hedges in H1
Risk-weighted assets for CVA drops 48% in six months to end-June
Prudential filters crimp some banks’ own funds, boost others
Two banks saw CET1 climb more than 5% at end-2019 through the EU’s valuation adjustments
Eurozone bank capital buffers swell on Covid relief measures
Average buffer increases to 393bp across 14 eurozone lenders
Six VAR breaches at ABN Amro in Q1
Market risk capital charge climbs 57% in response
Model flaws continue to dog ABN Amro
Trim added €10 billion of risk-weighted assets in 2019
Some eurozone banks have thin leverage capital buffers
Tier 1 capital surpluses above regulatory minimums range between 31% and 123%
EU banks increase systemic footprint
Values used for seven of 12 systemic risk indicators climb year-on-year
UK banks added OTC notionals in 2018 as EU peers cut back
Barclays, HSBC, Lloyds, Standard Chartered increased notionals by almost €15 trillion
Big EU banks’ Level 3 assets up 25% in 2018
Hard-to-value assets rise €35 billion year-on-year
ABN Amro cuts op RWAs by €1bn
Model updates lower AMA-calculated portion of op risk capital