Risk Quantum/European Banking Authority (EBA)
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
Greek, Italian banks lead EU on IFRS 9 capital relief
Intesa Sanpaolo saw CET1 capital add-in of €2.6 billion
Own-sovereign risk higher in peripheral eurozone countries
Portuguese, Greek, Italian, Irish and Spanish banks have 51% of their sovereign portfolios invested in domestic debt
EU banks’ liquidity buffers weathered Covid turmoil
Central bank cash reserves edge up across EU lenders