Articles by Alessandro Aimone
DTCC’s total liquidity pool shrank in Q2
Aggregate liquidity resources fall to $260 billion
Eurex Clearing members add €609m to default fund
Initial margin posted in Q2 soars 5%
JP Morgan’s CVA charge jumps $249m in Q2
All US G-Sibs post higher CVA capital requirements for the quarter
Credit loss provisions at US G-Sibs 14% lower in Q2
PCLs total $4.8 billion at end-June
Top UK banks cut CVA charges by 9% in Q2
Standard Chartered is only outlier among big five to see capital requirement rise
Among G-Sibs, Japanese and US banks see LCRs improve most
US systemic banks’ liquidity coverage still lags behind other G-Sibs
Short-term interest rate ETD notionals leap $14trn in Q2
Open interest in exchange-traded options with maturities of a year or less rise 19%
Higher retained earnings boost Barclays, Lloyds and RBS capital
Barclays and RBS legally transferred share premium account balances to retained earnings over last two years
Liquidity coverage of eurozone G-Sibs diverge in first half of 2019
BNP Paribas sees LCR drop 11.6 percentage points in H1 while Deutsche Bank’s climbs 7.3 percentage points
Off-balance-sheet exposures at US systemic banks jump $67bn
BAML expands these assets by 2.5% quarter-on-quarter to $921 billion
RNIV charges account for big chunk of Swiss banks’ capital
At UBS, 37.5% of its market risk capital requirement was for risks-not-in-VAR
Renminbi contracts grow share of interest rate derivatives turnover
Instruments denominated in non-G10 currencies accounted for 3.8% of average daily turnover in April 2019
Short-term contracts dominate interest rate derivatives turnover
Overnight index swaps made up 31.5% of daily average turnover in April
UK dealers see over half of interest rate derivatives trades
86% of all euro-denominated contracts handled in the UK in April 2019, up from 75% in 2016
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
UK bank LCRs drifted lower in Q2
HSBC saw group-level LCR decline as it reorganised its capital stack
Over two years, UK G-Sibs levered up in contrast to EU peers
But UK CRR leverage ratios still higher than eurozone rivals
Credit risk grows share of big EU banks’ RWAs
Deutsche Bank leads the field, with credit RWAs increasing share of total by 294bp year-on-year
Among Canadian banks, credit provisions leap highest at BMO
Aggregate provisions for credit losses up 0.7% quarter-on-quarter at “Big Five”
Time for a (proper) G-Sib speeding ticket
Fed’s systemic risk assessment has become box-ticking exercise, and US banks are getting away with it
Risk density of US systemic banks trumps that of EU peers
Ratio of RWAs to leverage exposures averages 44.7% at US G-Sibs
JSCC member default fund contributions fall to ¥676bn in Q2
Default fund contributions shrink 19%, but members’ initial margin payments climb
JSCC turns to cash in rejig of liquidity reserve
Clearing house withdraws ¥29.9 billion from repo market
Swaps between UK banks and foreign firms climb in Q2
Total value of derivatives assets and liabilities with overseas lenders hits £2.09 trillion