Risk Quantum/Danske Bank
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
Danske drains excess liquidity, reducing LCR
Nordic bank cuts LCR to 121% at end-2018 from 171% the year prior
ING reaps third-quarter CVA capital savings
Intesa and Caixabank also see CVA charges decline
Danske money laundering scandal leads to capital add-ons
The add-ons pushed Danske’s management to revise its target CET1 capital ratio higher
European credit model outputs vary wildly
Risk densities range widely and out-of-sync with average probabilities of default