Capital adequacy
JP Morgan shook up market risk stress tests in Q2
Bank switched stressed VAR historical periods 60 times
Swiss banks plumped liquidity buffers in Q2
Credit Suisse’s HQLA increases 26% quarter-on-quarter
Systemic eurozone banks expand cleared portfolios
BNP Paribas is an outlier, having ratcheted up bilateral trading since 2013
RBC’s VAR doubled in pursuit of trading windfall
Stressed VAR also surged as the bank switched stress periods
BMO, Scotia crush CVA charges
CVA capital requirement fell 48% at BMO last quarter
Systemic indicators surged at European banks in 2019
Total exposures increased 3% year on year
Systemic US banks’ leverage exposures shrank $1.4tn in Q2
On-balance sheet exposures fall on Fed relief
Market, interest rate risks surged at Commonwealth Bank in H1
Market RWAs jumped 129% over the first half
Internal stress tests of EU banks not up to scratch – ECB
Only one in 10 banks’ internal tests are tougher than supervisor-run programmes
Axa’s solvency ratio continues fall in Q2
French insurer’s core ratio has dropped 18 percentage points year-to-date
Systemic eurozone bank provisions hit €11bn in Q2
ING sees loan-loss charge double in Q2
Market risks push Allianz’s Solvency II ratio lower in Q2
Whipsawing markets help take three percentage points of the firm’s core solvency ratio
SocGen’s VAR jumped 54% in Q2
Credit VAR more than doubled to €43 million
Continued change and volatility impacting Solvency II reporting
The capital impacts of Covid-19 mean increased Solvency II monitoring and reporting challenges for insurers. This is occurring against a backdrop of continued regulatory change. Faced with the evolving challenges of Solvency II, Refinitiv highlights why…
NatWest reaps benefits of PRA’s market risk relief
Suspension of capital multiplier contributes to £1.5 billion of RWA savings
Covid hammered CEE banks’ capital ratios
One-quarter of EU banks have CET1 ratios below 13%
Trading VAR surged at Credit Suisse in Q2
Market risk-weighted assets up 20% quarter-on-quarter
Coronavirus crisis sours €8bn of Santander’s loans
Loans moved into IFRS 9 stage two to reflect significant increase in credit risks
Deutsche slashed ‘bad bank’ RWAs in H1
Leverage exposures linked to capital release unit have fallen 20% in six months
Relief for credit losses buoys Barclays’ capital ratio
IFRS 9 transitional measures added 35bp to CET1 ratio
Coronavirus shock to hit diversified lenders hardest – ECB
Diversified and wholesale lenders projected to see CET1 ratio decline 7 percentage points under worst-case scenario
Severe Covid recession could topple some EU banks
One-quarter of lenders would see CET1 ratios fall below 6.8%
Top US banks reined in RWAs in Q2
Credit exposures fall after a wild first quarter
Credit scenario update drives UBS loan-loss reserves higher
Gloomier US outlook contributes to $272m of Q2 provisions