Data
EU life insurers’ solvency ratios decay in first half
Aggregate SCR ratio for life undertakings down 9%, Q2 2018–Q2 2019
Leveraged loan risks concentrated in handful of banks – FSB
US lenders make up 55% of exposures among global banks
Op risk modelling limited to largest EU banks
Smallest banks do not use AMA at all
Solvency II relief measures lift EU insurer capital ratios by a third
UK firms benefit most from long-term guarantee and transitional benefits
UK banks could withstand leveraged loan crisis
Losses projected to hit overall CET1 capital ratios by 40 basis points
At UK stress test banks, loan-loss estimates up £8bn in 2019
Impairments estimated to cut 5.7% off of the banks’ aggregate CET1 capital ratio
UK banks pass BoE stress tests
Dividend and AT1 bond coupon cuts needed to clear minimum requirements
G-Sibs in US grow leverage exposures faster than EU rivals
HSBC saw exposures fall 2.81% in Q3
EU supervisors set capital add-ons for 21 insurers in 2018
One Norwegian insurer had an add-on contributing 80% to their SCR
Big Canadian banks face C$1bn capital hike on securitisation changes
RBC faces C$551 million uplift alone
EU banks eye savings following Pillar 2 update
ECB estimates CET1 relief of 90 basis points
Five eurozone G-Sibs cut op RWAs in Q3
Deutsche Bank cut €5.7 billion quarter on quarter
IFRS 9 transitional measures saved EU banks €22bn
Four Greek banks claim €1.2 billion of capital relief on average
EU derivatives markets highly concentrated
CCPs hold 41% of interest rate derivatives notional exposures
Santander’s CVA charge up 15% in Q3
Other eurozone G-Sibs see their CVA requirements fall
Rate options and futures volumes plummet $10trn in Q3
Open interest in short-term options collapses 10% quarter on quarter
Big US banks cut OTC notionals by $10trn in Q3
Cleared notionals made up 54% of aggregate total notionals outstanding
CLO stress test shows losses for US insurers could top $6.9bn
Under one stress scenario, BBB tranches could suffer losses
New CVA regime to hike affected RWAs fivefold at EU banks
Systemically important lenders face 622% increase in CVA RWAs; but effect could be less if existing exemptions are carried over
Upgrade to derivatives system dents trading revenue at TD
Real-time mark-to-market of portfolio should cut trading revenue volatility in future
JSCC issued ¥486bn VM call in Q3
Estimated largest payment obligation sized at ¥620 billion
At CIBC, update to loan-loss model lifts credit provisions 38%
Darker economic outlook justified a shift in ECL model weightings
FRTB to double market RWAs of EU banks
Risk-weighted assets across 44 banks to increase 105% on average
Over 2019, loan-loss reserves up 50% at RBC
Percentage of provisions to total loans up to 0.32%