Capital adequacy
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
EU’s 2020 stress tests are toughest to date
Real GDP projected to contract –4.3% over three-year scenario horizon
At US banks, CECL effects differ wildly
Truist bank sees reserves leap +150%; average increase is +50%
Deutsche shrinks ‘bad bank’ 30% in 2019
Efforts to crush operational RWAs bore fruit last year
Defying headwinds, Santander posts record capital gains
CET1 ratio hits 11.65% at end-2019
On share buybacks, BofA leads US banks with $28bn splurge
In total, US G-Sibs spend 28% more on own shares in 2019 than previous year
Four UK banks improve resilience to stress tests compared with 2018
Aggregate CET1 capital ratio headroom over hurdle rate improves by 50 basis points
Leveraged loan risks concentrated in handful of banks – FSB
US lenders make up 55% of exposures among global banks
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
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
Climate risk-weighting: the devil and the deep blue sea
Should capital charges be calibrated to climate risk? European banks test the waters
FRTB to double market RWAs of EU banks
Risk-weighted assets across 44 banks to increase 105% on average
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
Threats posed by systemic banks vary by region
Eurozone and UK G-Sibs are too big to fail because of their cross-border activities, Chinese G-Sibs because of their size
Insurer of the year: Pension Insurance Corporation
Risk Awards 2020: Innovative regulatory capital bond gives PIC an edge
ECB favours higher countercyclical buffers
Releasable buffers only make up fraction of required capital
Wells Fargo could escape Collins floor
Op risk-weighted asset increases see advanced RWAs near standardised measures
Commerzbank plumps capital buffer with AT1 bond sale
Bail-in instrument helps expand buffer above MDA limit to around 220bp
CaixaBank approaches MREL target
Innovative social bond helps fill bail-in buffers
Capital issuance spree boosts Credit Suisse’s Tier 1 buffers
Contingent note sale pushes additional Tier 1 capital up 22%