Risk Quantum/Rabobank
Some eurozone banks have thin leverage capital buffers
Tier 1 capital surpluses above regulatory minimums range between 31% and 123%
MREL target drifts further out of Rabobank’s reach
Dutch bank has current MREL ratio of 27.8%, compared with target of 28.58%
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
Nordic, UK banks have highest countercyclical buffers
Nordea, Lloyds and RBS had the largest add-ons of banks surveyed
Rabobank shuns wholesale funding
Dutch lender has reduced wholesale liabilities by 29% since 2014
European credit model outputs vary wildly
Risk densities range widely and out-of-sync with average probabilities of default
European banks junk op risk modelling
Barclays and BNP Paribas move to standardised approach in the second quarter
Capital structures vary across EU banks
Median lender's capital stack is 75% CET1, 10% AT1, and 15% Tier 2
European banks op risk losses dominated by business failures
Losses relating to accident and neglect account for 38% of op risk losses at eight big 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