Risk Quantum/Santander
Expected European loan losses push up Santander’s Q4 credit reserves
Full-year LLP came to €12.2 billion, contributing to an overall loss in 2020
Loan-loss provisions take a smaller bite out of EU banks in Q3
Set-asides fell 57% quarter on quarter
At Santander, Covid relief for €75bn of loans expired through Q3
Sixteen per cent of loans coming out of payment holidays have experienced a fall in creditworthiness
European banks’ liquidity ratios improved over H1
Average ratio across 23 lenders climbed to 151%
Which EU banks hold the most loans subject to Covid relief?
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
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
Change to risk-weight floor amps EU banks’ securitisation RWAs
BNP Paribas’ banking book securitisation RWAs increased 32% on end-2019
Systemic eurozone banks expand cleared portfolios
BNP Paribas is an outlier, having ratcheted up bilateral trading since 2013
Trading VAR leapt higher across EU banks in Q2
Average VAR across seven systemic lenders increased 61% quarter-on-quarter
Systemic eurozone bank provisions hit €11bn in Q2
ING sees loan-loss charge double in Q2
Coronavirus crisis sours €8bn of Santander’s loans
Loans moved into IFRS 9 stage two to reflect significant increase in credit risks
Systemic European banks’ bail-in buffers fell in Q1
Bail-in debt stocks increase, but balance sheet expansion crimps TLAC ratios