Risk Quantum/Santander
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
Fraud makes up bulk of UK bank op risk loss events
Internal and external fraud on average equalled 64% of all op risk events in 2017 across four large dealers
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
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
Barclays and HSBC impairment provisions soar
Barclays’ provisions increase 54%; HSBC’s by 29%
Santander reaps capital benefit with close of toxic asset sale
The bank aims to have CET1 above 11% by end-2018