Risk Quantum/BBVA
BBVA cuts €2 billion of toxic assets
The bank’s NPL ratio fell to 4.1% at end-September
European credit model outputs vary wildly
Risk densities range widely and out-of-sync with average probabilities of default
Fed stress tests: foreign banks lag US on capital estimates
On average, IHCs missed the Fed’s estimates of the amount their CET1 ratios would fall in the 2018 test cycle by 213bp, compared with 109bp by US lenders
BBVA gets forex model update from ECB
Foreign exchange risk added €366 million in capital requirements in 2017
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
Italian banks hardest hit by IFRS 9 transition
Risk Quantum analysis of 36 banks from 11 European Union countries found that capital declined on average by 34bp between December 31, 2017, and March 31, 2018
BBVA gets capital relief through synthetic securitisation
Second deal with European Investment Bank frees up balance sheet for lending