ABN Amro
ABN Amro shifts 70% of credit risk to standardised approach
RWA increase from portfolio migration in Q3 offset by regulatory add-ons removal
Caramanli quits Ion, destination unknown
Current markets head Oliviero is said to have replaced outgoing chief product officer
Dutch banks see mortgage loans sour in Q4
ABN Amro’s stage 2 mortgage ratio hits highest level since Covid-19 pandemic
IRB reliance peaks at over 90% for some lenders ahead of Basel III shift
As reforms loom, IRB usage spans from marginal to near-total among European banks
More cleared repo sponsors join Eurex ahead of cross-margining
End of TLTROs for banks and pension fund search for liquidity management tools drives uptake
EU dealers added €38bn of Level 3 assets in 2023
Groupe BPCE, DZ Bank led accumulation of mark-to-model instruments
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
False start: 13 EU banks miscalculate new GAR coverage metric
Unclear instructions, late guidance and poor font choices among reasons behind diverging interpretations from EBA’s template
First green asset ratios come in low as EU banks protest methodology
ABN Amro only bank to break double digits in a sample of 23 lenders
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
ECB raised Pillar 2 charges for just three CRE-heavy banks in latest SREP
Pfandbriefbank and Luminor saw largest increases across 106 banks subject to 2023 assessment
Interbank lending plummets at major European banks
Reduced repo operations and TLTRO repayments among drivers
People: Risk shake-up at Santander, JPM juggles markets, and more
Latest job changes across the industry
Tall order: why a unified op risk taxonomy is still elusive
Banks vary in how they classify operational risk losses – and regulators are in no rush to change the status quo
ABN Amro ditches op risk modelling
Dutch lender latest EU bank to switch to the standardised approach ahead of SMA introduction in 2025
Share of op risk modelling falls at European banks
Less than half of analysed dealers rely on the AMA, as introduction of new standardised approach looms large
US banks’ RWA density dwarfs that of European peers
Truist, Capital One and PNC Bank lead with risk density above 65%
BNP Paribas’s default contributions hit record high in H1
Requirements from CCPs up 19% across 13 EU and UK banks
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
European banks’ systemic indicators surged in 2022
Higher values for 10 of 14 systemic risk indicators could see capital surcharges increase later this year