Risk Quantum/ING Group
Derivatives footprint of top EU banks shrinks
Deutsche Bank reduced these exposures by 12% alone
Systemic EU banks had €213bn of loans under moratoria at end-2020
Exposures covered by payment holidays dropped by €115bn in H2
Prudential filters took a smaller bite out of bank capital in 2020
Additional valuation adjustments deducted €1.3 billion less from CET1 at top banks
EU systemic banks added €9bn to capital through IFRS 9 break
UniCredit was the top beneficiary with an 82 basis points CET1 ratio boost
Portfolio shifts aided credit RWA reductions at Dutch banks in 2020
At ING, 0% risk-weighted sovereign exposures kept a lid on RWA inflation
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
Model reviews imposed capital charges on top EU banks in Q4
Societe Generale incurred a -36bp hit to its CET1 ratio due to Trim
ING takes capital hit for lowballing loan-loss provisions
NPE coverage ratio fell over Q4
Loan-loss provisions take a smaller bite out of EU banks in Q3
Set-asides fell 57% quarter on quarter
ING’s op risk charge jumped €228m in Q3
Op RWAs had been falling since Q3 2019
VAR spasms heap market risk charges on EU G-Sibs
VAR-based charges increase 94% on end-2019
BNP Paribas again leads eurozone banks on repo exposures
French bank increased exposures 69% over the first six months of the year