Articles by Alessandro Aimone
OTC derivatives amount rose 5% in H1
While notional amounts were up from end-2020, gross market values fell 20% across all instruments tracked by the BIS
ABN Amro’s market risk drops as VAR falls 53%
Total market RWAs down 4% quarter on quarter
NAB’s market RWAs down 25%
Quarterly RWA reduction partially offset by higher interest rate risk in the banking book
Barclays’ F&O clearing unit boosts client margin by $2.1bn
JP Morgan remains the FCM with the largest share of required segregated customer funds for futures and options trades
State Street shrinks gap in the custody assets race
Boston-based bank reports largest quarterly increase among top US custodians
Nordea’s trading VAR up 58% in Q3
Higher equity and interest rate risk pushed measure to highest level since March 2020
CME boosts liquidity buffers by 5%
Central bank balances accounted for 68% of the CCP’s total liquidity buffer in Q2
China, Turkey lead regulatory laggards on Basel III framework
Argentina, Australia, Brazil, Japan and Korea made no progress at all since May 2020
Initial margin at LCH Ltd rose in Q2
RepoClear and ForexClear saw biggest increase over the quarter
OCC increases skin in the game in Q2
Own funds to handle a participant collapse amounted to $313 million
NSCC caught $5 billion short in June
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2
Ice Clear Credit member default fund contributions climb 6%
Total pre-funded required participant payments hit a record high in Q2
BNP Paribas leads EU banks on repo exposures
French bank increased securities financing transactions by €66bn in the first half of the year, the most among the bloc’s top lenders
UK bank LCRs fall in Q2, led by HSBC
Implementation of new methodology weighs on bank’s end-quarter LCR
Systemic US banks’ bail-in buffers rose in Q2
Morgan Stanley posts largest amount of headroom, while Citi, State Street and Wells Fargo trail behind
Santander’s CVA charge jumps 94% in Q2
Among the other EU systemic banks, higher capital requirements also at SocGen, ING, Crédit Agricole and UniCredit
Off-balance-sheet exposures at US systemic banks jump $42bn
JP Morgan, Goldman Sachs and Citi drove the overall increase in the second quarter
StanChart’s CVA charge up 19% in Q2
Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
Citi hits the Collins floor
Of the eight systemic banks in the US, Goldman Sachs remains the only one above the threshold
JSCC turns to commercial banks in rejig of liquidity reserves
Funds stashed at the Bank of Japan down 31% on the previous quarter
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
RWA density at Goldman drops to seven-year low
Change to the distribution of the bank’s exposures by risk weighting likely contributed to the reduction
Citi leads US banks in shrinking market risk
First aggregate drop in capital charges stemming from market risk since mid-2020
Systemic indicators surged at European banks in 2020
Values used for 10 of 12 systemic risk indicators climb year-on-year