Risk Quantum/ABN Amro
ECB model review continues to eat at ABN Amro’s capital
Trim effects add €1.3 billion of RWAs in Q1
Nordic, UK banks have highest countercyclical buffers
Nordea, Lloyds and RBS had the largest add-ons of banks surveyed
Model woes swell ABN Amro RWAs
Trim and model reviews add €5 billion in risk-weighted assets
ING reaps third-quarter CVA capital savings
Intesa and Caixabank also see CVA charges decline
ABN Amro’s impairment charges drop €28 million
Impairment charges were down 21% to €106 million over the three months to end-September
European credit model outputs vary wildly
Risk densities range widely and out-of-sync with average probabilities of default
Standardised market RWAs on the rise at EU banks
Standardised approach-generated RWAs increase €4.7 billion across 12 banks
EU bank leverage increases in H1
Average leverage ratios degrade 19 basis points in six months to June
Capital structures vary across EU banks
Median lender's capital stack is 75% CET1, 10% AT1, and 15% Tier 2
Top European banks shed $32 billion in op risk
5% average drop across 16 European banks reported quarter to quarter
ABN Amro sustains assault on market risk
The bank's market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter
European banks op risk losses dominated by business failures
Losses relating to accident and neglect account for 38% of op risk losses at eight big dealers