Risk Quantum/European Banking Authority (EBA)
Output floor to drive Basel III capital increase at EU banks
About 40% of total Tier 1 capital surge due to limits on modelled RWAs
State-backed Covid loans have light capital impact – EBA
Average risk density of guaranteed loans was 18% at end-June
EU loans under Covid moratoria have high credit risk – EBA
Banks in Austria, Iceland, Romania and Slovakia especially vulnerable, data shows
Banks in EU periphery lose most on soured loans
Irish, Spanish, Italian banks also have to wait longest to recover loaned funds to borrowers in default
At Santander, Covid relief for €75bn of loans expired through Q3
Sixteen per cent of loans coming out of payment holidays have experienced a fall in creditworthiness
EBA’s software treatment offers banks meagre capital benefits
Three-year prudential amortisation approach more generous than initial two-year proposal
Souring loans piled up at EU banks in Q2
Share of loans that have declined in creditworthiness made up 8.2% of lenders’ totals
EU banks’ credit risk estimates deteriorated in Q2
Weighted average corporate borrower PD across countries climbed to 2.04%
EU banks’ capital gauges show mixed recovery from Covid hit
Tier 1 leverage ratios fall for second quarter in a row
Which EU banks hold the most loans subject to Covid relief?
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
France, Germany lead EU on MREL debt sales
French banks account for 27% of total bail-in bond issuances
Systemic eurozone banks expand cleared portfolios
BNP Paribas is an outlier, having ratcheted up bilateral trading since 2013
How Deutsche shrank its systemic footprint
Total exposures have fallen one-third since 2013
Systemic indicators surged at European banks in 2019
Total exposures increased 3% year on year
Barclays led European banks on derivatives notionals in 2019
Deutsche Bank cut notionals 10% last year
EU banks’ Q1 credit risk estimates show little Covid effect
Probability of defaults for retail exposures edged up only slightly quarter-on-quarter
Corporate, SME loans to take brunt of Covid shock, say EU banks
Though credit outlook has darkened, banks expect to increase lending overall
Covid hammered CEE banks’ capital ratios
One-quarter of EU banks have CET1 ratios below 13%
Severe Covid recession could topple some EU banks
One-quarter of lenders would see CET1 ratios fall below 6.8%
Prudential filters crimp some banks’ own funds, boost others
Two banks saw CET1 climb more than 5% at end-2019 through the EU’s valuation adjustments
Niche EU lenders loaded with loans to peripheral eurozone
Top European banks have limited exposures to Greece, Cyprus, Spain, Portugal and Italy
EU bank credit models neglect peripheral countries
A majority of non-core EU exposures are under the standardised approach
French, UK banks have largest trading portfolios in Europe
Fair value and HFT assets concentrated among biggest banks
Hard-to-value assets abound at Nordic banks
Level 3 assets make up 25% of Norwegian firms’ fair value portfolios