UniCredit
HSBC led EU G-Sibs on collateralisation in 2018
UK bank posted €908 billion for derivatives and SFTs as of year-end
Credit risk concentrations vary across big EU banks
The median G-Sib had roughly 60% of its credit portfolio exposed to counterparties outside its domicile
Two banks dominate EU securitisations
Banco Santander and Deutsche account for over one-third of total securitisation exposures among G-Sibs
EU G-Sibs add €2.7bn of op RWAs in 2018
Op risk charge anticipated to jump €21.5 billion under Basel III
EU G-Sibs' CCP exposures topped €223bn in 2018
Societe Generale, BNP Paribas and HSBC made up over half of all exposures
European and US G-Sibs' LCRs diverge in 2018
The average LCR at the 13 European and Swiss G-Sibs stood at 145% at end-December, 42 basis points higher than at end-2017
European banks adjust capital mix
Additional Tier 1 totals climb, CET1 and Tier 2 dips
European and UK G-Sibs cut leverage at year-end
Barclays posted the largest quarterly increase of 60bp
Many EU banks’ sovereign portfolios highly concentrated
Forty-eight lenders have more than three-quarters of sovereign risk allocated to home country
Italian banks lead EU on cutting soured loans
Intesa Sanpaolo, Banco BPM, UniCredit shed most NPLs in H1
BNPP leads big EU banks in growing IRB exposures
French bank adds €25 billion of modelled exposures in third quarter
ING reaps third-quarter CVA capital savings
Intesa and Caixabank also see CVA charges decline
Cross-border risks drive European G-Sib scores
Basel method shows cross-jurisdictional activity makes up 30.8% of banks’ total G-Sib scores
Market risk drops €5 billion at big EU banks, reversing trend
Banco Santander posts largest reduction of group, with market RWAs falling €2.2 billion
Basel’s archaic op risk taxonomy gets a makeover
Industry moves to revise out-of-date categories that feature risks such as cheque fraud
LCRs show US banks run more risk than European peers
The gap between the two averages has widened over the past three quarters to 250bp from 212bp
UK and EU bank leverage ratios edge lower
Average European G-Sib ratio down 27bp year to date
EU G-Sibs cut $14 billion in op risk
Banco Santander posted the largest decline – at 7% – with op RWAs falling to $70 billion
UniCredit retreats from capital target as bond run bites
Italian bank swallows 39bp capital hit in third quarter; 9bp through BTP moves
Capital sharing caps hit over half of EU stress test banks
Capital conservation measure saves 25 banks €52 billion over stress-test period
Big EU banks lost €22bn capital on IFRS 9 switch
Italian banks saw the largest capital depletion, losing €9 billion (8.9%) of CET1 capital on the transition
People moves: Piterbarg joins NatWest Markets, Le Brusq leaves Natixis, and more
Latest job changes across the industry
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%