Risk Quantum/Rabobank
Rabobank’s market risk charges jump 54% in H1
Increases in commodity and FX risk push up SA RWAs
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
European banks’ liquidity ratios improved over H1
Average ratio across 23 lenders climbed to 151%
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