Risk Quantum
Big banks to bear brunt of Basel III reforms in EU
G-Sibs short €82.8 billion of Basel III capital
Ties between EU insurers and banks vary by country
Estonian, Cypriot and Swedish insurers most exposed to banking sector
LCH RepoClear posts £23m margin breach
Five backtesting exceptions reported for 18-month period to end-March
DFAST: JP Morgan accounts for one-fifth of projected losses
Bulk of losses would come from bank’s loan portfolio, projected to incur total losses of $60.3bn
Stress test projected loan losses fall $18bn
Credit card loss rates account for 36.3% of total loan losses under severely adverse scenario
CCAR: JP Morgan, Capital One adjust planned capital actions
Two banks see stressed capital ratios fall below regulatory minimums at first attempt
Eurozone G-Sibs’ op RWAs fall €8.1bn in Q1
Deutsche Bank led the charge with €6.4bn reduction
Czech National Bank raises countercyclical buffer to 2%
Increase takes effect from July 2020
Deutsche slashes links to other financial firms
Intra-financial system assets and liabilities fall 22% and 29%, respectively
Eurex made €525m VM call in Q1
Margin call equivalent to 2% of CCP’s own liquidity resources
Eurex boosts liquidity buffers by 8%
Central bank deposits continue to make up bulk of CCP's liquidity resources
Deutsche’s stress-testing models are surprisingly accurate
DB USA's projections precisely matched the Fed’s estimates for the second year in a row
US banks improve stress test projections
Gap between internal projections and the Fed's model outputs shrinks to 118 basis points