Articles by Louie Woodall
Banks hurdle Fed stress tests with ease
Aggregate post-stress CET1 capital ratio of 18 participants well above regulatory minimum at 9.2%
IRB approaches cover two-thirds of European bank credit risk
Share of risk-weighted assets calculated using internal models between 41% and 91% at the G-Sibs
SME loans more capital intensive for big eurozone banks
Corporate loans to smaller enterprises attract high risk weightings
Systemic US banks’ overseas loans top $3trn
Citi leads large US dealers with almost $1trn of foreign claims
Some EU funds leveraged more than 500% using CDS
1,337 funds held €387 billion of CDS notionals at end-2016
Non-systemic US banks shy away from short-term funding
Mid-sized non-G-Sibs have average STWF score of just 17.1%
Generali expands scope of internal model
Total SCR drops 8% to €20.4 billion in 2018
Goldman Sachs leads US firms on non-bank assets
Non-bank assets of G-Sibs equivalent to 32% of total consolidated assets
US mid-sized banks pile into intra-financial system assets
Non-G-Sibs over $100 billion in size hold 85% more of other banks’ assets than in 2014
Getting risk models runway ready
Banks struggling with internal model requirements may soon opt for off-the-rack rather than bespoke
Fed study says CCAR has not toughened over time
Higher planned dividends and buybacks to blame for increased capital depletion under stress tests
Bond binge accelerates at eurozone insurers
Annualised growth rate of debt portfolios hits new high of 2.6%
L&G’s counterparty risk charge almost doubles in two years
Operational and market risk charges also climb at UK group
Eurozone insurers’ bets on alternatives raises systemic risk
Dutch firms have more than 25% of total assets tied up in non-traditional investments
Allianz’s counterparty risk charge up €102 million in 2018
Total solvency capital requirement down €600 million year-on-year
Eurozone systemic risk diminishes
Yet jumbo exposures to other banks dominate intra-system assets
Axa market risk charge drops almost €3bn in 2018
Solvency capital requirement falls 9% year-on-year
Over four years, US non-cleared swaps books get riskier
Risk density of non-cleared trades has increased under standardised approach
G-Sibs add $33trn of OTC notionals in Q1
JP Morgan expands swaps book by 23% in first quarter
US banks demand high rates for overnight loans
Most banks demand 25bp-plus spread over IOER to lend unsecured
Systemic risk scores surge at six US G-Sibs
JP Morgan and Goldman Sachs bump up against higher-risk surcharge thresholds
Eurozone securitisation engine sputters in Q1
Holdings of eurozone bank loans by SPEs are contracting
Most US G-Sib assets attract low risk weightings
Of total assets, 53% have a standardised risk weighting of 50% or lower
US G-Sibs curb reliance on unsecured debt
Citi cuts outflows related to issued securities 68% year-on-year