Risk Quantum/Danske Bank
Regulatory breaks strengthened EU banks’ CET1 ratios in 2020
In spite of Covid turmoil, top lenders improved their CET1 ratios by around 70bp on average
Loan-loss provisions take a smaller bite out of EU banks in Q3
Set-asides fell 57% quarter on quarter
Which EU banks hold the most SME exposures?
Danske Bank, Crédit Agricole, Group BPCE lead the field
At Danske Bank, market RWAs soar as credit risks dip
Bond binge contributes to 36% increase in market risk charge
Corporate defaults push Danske Bank’s NPLs up 16%
Single-name exposures caused bulk of Q4 impairments
Model tweaks lift Danske’s market RWAs 30%
Tough trading quarter could also have pushed VAR-based charges higher
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
Danske’s profits drop 22% as impairment charges surge
Corporates & institutions unit incurred loan impairments of DKK520 million
Nordic, UK banks have highest countercyclical buffers
Nordea, Lloyds and RBS had the largest add-ons of banks surveyed
IFRS 16 takes bite out of Danske’s capital ratio
RWAs rise Dkr6.2 billion on accounting switch