Risk Quantum/BBVA
European banks’ liquidity ratios improved over H1
Average ratio across 23 lenders climbed to 151%
Trading losses at US units of Deutsche, RBC exceed VAR by 1,000%
Wild markets overwhelmed foreign banks’ value-at-risk estimates
Eurozone bank capital buffers swell on Covid relief measures
Average buffer increases to 393bp across 14 eurozone lenders
BBVA trims capital target following ECB relief measures
Spanish lender targets 225-275bp CET1 management buffer
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
Goldman, BBVA and TD Group incur VAR breaches in Q3
US unit of TD Group endures four breaches in three months to end-September
Impairment charge up 58% at BBVA
Write-offs and higher provisions take big bite out of bank’s income
Some eurozone banks have thin leverage capital buffers
Tier 1 capital surpluses above regulatory minimums range between 31% and 123%
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
Regulatory changes swell RWAs at BBVA
Targeted review of internal models saps 13 basis points from CET1 capital in Q2