Risk Quantum/ING
LCRs show US banks run more risk than European peers
The gap between the two averages has widened over the past three quarters to 250bp from 212bp
EU G-Sibs cut $14 billion in op risk
Banco Santander posted the largest decline – at 7% – with op RWAs falling to $70 billion
Capital sharing caps hit over half of EU stress test banks
Capital conservation measure saves 25 banks €52 billion over stress-test period
European credit model outputs vary wildly
Risk densities range widely and out-of-sync with average probabilities of default
Corporate loan RWAs doubled by standardised approach
RWA densities for corporate loans under standardised approach stand at 94%, for A-IRB just 43%
Deutsche Bank's risky corporate loan pile towers over peers
German lender has one-quarter of all high-risk corporate loans reported by EU big banks
Standardised market RWAs on the rise at EU banks
Standardised approach-generated RWAs increase €4.7 billion across 12 banks
Top European banks shed $32 billion in op risk
5% average drop across 16 European banks reported quarter to quarter
Take-up of credit modelling varies at European banks
Percentage of credit RWAs calculated using IRB approaches ranges from 42% to 91% across large dealers
Italian banks hardest hit by IFRS 9 transition
Risk Quantum analysis of 36 banks from 11 European Union countries found that capital declined on average by 34bp between December 31, 2017, and March 31, 2018
ING market risk charge edges higher
Dutch bank adds €0.8 billion of market RWAs