Risk Quantum/Santander
Loan losses bedevil Lloyds in EU stress tests
UK bank saw largest CET1 decline due to asset impairment of EU-wide sample
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
EU bank leverage increases in H1
Average leverage ratios degrade 19 basis points in six months to June
Fed stress tests: foreign banks lag US on capital estimates
On average, IHCs missed the Fed’s estimates of the amount their CET1 ratios would fall in the 2018 test cycle by 213bp, compared with 109bp by US lenders
Santander shakes off toxic loans
NPL ratio 145bp lower than at time of Banco Popular takeover
EU banks get different MREL levels and deadlines
Average bail-in requirement is 28% of RWAs
Ring-fencing to starve investment banks of deposit funding
BoE data estimates non-ring-fenced banks will have access to just 4% of household deposits
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
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