Insurance
EU insurance solvency ratios strengthen in 2017 – Eiopa
Average solvency ratio climbs to 237%
EU insurers shun ABS, real estate
Securitisations make up just 0.5% of portfolios; property 2.7%
Solvency II capital charges concentrated in two key risks
Market risk SCR averages 37% across six large insurers
Eiopa targets cyber risk in stress tests
Forty-two insurers quizzed on IT vulnerabilities
Equity hedges protect Munich Re from vol spike
Net derivative liabilities fall 95% year-on-year
Axa tackles equity risk
Efforts to reduce equity SCR boost Solvency II ratio by eight basis points
Legal woes drain Barclays' capital
A $2 billion fine from the US Department of Justice contributed to a 60bp CET1 capital ratio decline
Barclays’ cyber chief: try to break your own IT defences
Banks “must go beyond vulnerability assessments”, conference hears
BoE creates volatility adjustment ‘stepping stone’ for insurers
Dynamic VA may be used for assets that fail to qualify for matching adjustment, say experts
Power to the people: US bourse bets on retail rush into swaps
Eris Exchange hopes retail access to its swap futures will usher in new era of swaps for all
Systemic rules for insurers and funds should be mutually coherent
Leverage and liquidity risks are common to both sectors, says IAIS chair Victoria Saporta
Another Brexit: UK heading for Solvency II risk margin fix
PRA to approve local cut to risk margin but implementation may be postponed until after March 2019
Libor concerns prompt switch to Sonia swaps
Move by some UK LDI managers has steepened Sonia-Libor basis
European supervisors may step in over Priips confusion
Differences in how issuers disclose product costs harming comparability, observers say
Global regulation vice-president leaves MetLife
End of Sifi designation court fight reduces need for legal and lobbying work at US insurer
One road: China’s new regulatory body begins to unify rulemaking
Micro-issues like netting and securitisation may also be in sights of powerful new committee
Optimal equity protection of Solvency II regulated portfolios
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
EU regulators urged to give guarantees on Brexit transition
UK banks and insurers want legal protection in case a political deal breaks down
Standard bearer – Leading the IFRS 17 charge
With wins for regulatory reporting, economic scenario generation, Solvency II and stress-testing products in the 2018 Risk.net Market Technology Awards, Moody’s Analytics is well positioned to meet the demands of changing regulation such as IFRS 17
SEC eyes new rules on algo trading in bond markets
Electronification of bond markets may require a regulatory response, Jay Clayton says
Standardized measurement approach extension to integrate insurance deduction into operational risk capital requirement
The SMA proposed in BCBS (2016) presents several issues: in particular, its two components are not sufficient to discriminate banking institutions by risk profile, thus penalizing the more virtuous ones. This paper describes a possible solution to extend…
No plans to scrap systemic insurer rules, says IAIS chair
A US regulator claims Europeans asked IAIS to chart own course after FSB moved to ditch G-Sii list