Market risks push up top EU insurers’ capital charges
Regulatory capital charges to cover market risk leapt up at top European insurers in 2019, largely in reaction to tumbling interest rates.
Data from the risk reports of nine large insurers headquartered in the eurozone show the market risk component of their solvency capital requirements (SCR) increased almost 20% on average between end-2018 and end-2019.
Allianz, Europe’s largest insurer, saw its market risk SCR climb 28% over the year, to €28.1 billion ($31.6 billion). French rival Axa
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
UK life insurers pass BoE stress test with 64% hit to surplus capital
Sector deemed resilient, but plausibility of some management actions questioned
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
RepoClear’s concentration risks see highest rate of increase
LCH's cash bond and repo trade-clearing service has steepest slope of IM and open positions over 2016–22
MMFs’ reverse repos with Fed surged 35% last year
Fidelity-run funds drove 29% of the $601 billion in new trades
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
CCPs’ largest members account for almost half IM
Analysis of 30 clearing services shows wide dispersion in concentration risk – with LCH and JSCC leading the pack
BNY Mellon, Goldman join Citi in escaping Collins floor
Outpaced drop in standardised RWAs pushes banks above threshold – but custodian only bank to reap benefits
Bucking wider trend, Citi’s cash trove ends 2022 up 31%
Liquid balances surged 14% in the last quarter of the year alone