Risk Quantum/BBVA
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
Regulatory changes swell RWAs at BBVA
Targeted review of internal models saps 13 basis points from CET1 capital in Q2
US units of BBVA, BNPP, TD Bank post VAR breaches in Q1
TD Bank losses on one day exceeded VAR estimate by 195%
Nordic, UK banks have highest countercyclical buffers
Nordea, Lloyds and RBS had the largest add-ons of banks surveyed
Credit losses in US, Turkey ding BBVA’s profits
Impairments jump €142 million in the US and €51 million in Turkey year-on-year
Foreign banks stockpile HQLA in US branches
Median FBO has 48% of total HQLA in branches, but only 31% of total assets
At US G-Sibs, 11 VAR breaches in 2018
The final quarter of 2018 saw a record number of VAR breaches at the biggest US banks
ING reaps third-quarter CVA capital savings
Intesa and Caixabank also see CVA charges decline
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