Articles by Alessandro Aimone
VAR breaches push NatWest Markets’ RWAs higher
Turbulence in rates behind higher market risk charges
Hong Kong turmoil pushes HSBC’s credit loss charge higher
Third quarter expected credit loss charge was 62% higher than in Q2
PRA grants Barclays £1bn op risk capital relief
Op RWAs fall to £42.5 billion in Q3
RBS’s leverage ratio sinks as balance sheet swells
NatWest Markets RWAs also increased on the quarter as derivatives positions deteriorated
Denmark, Slovakia hike countercyclical buffers
Eight countries have increased their CCyB year-to-date
At UBS, market risk charge falls following model updates
Market RWAs dropped on the quarter, even though risk levels increased
Cash burn drives UBS’s LCR lower in Q3
Swiss bank’s HQLA at lowest level since public disclosure began
Top 10 CCPs add $5.4 billion to liquidity pools in Q2
Clearing houses expand size of secured credit lines over the second quarter
At large US banks, credit loss reserves up 12% in Q3
JP Morgan took $1.5 billion of provisions in the third quarter alone
BNY Mellon leads US custody banks’ assets increase
Total Auca stood at $94.4 trillion at end-September
Defaults would dent, but not destroy, CCP liquidity buffers
Max payment obligations in event of member default would be sufficiently covered
Initial margin posted to LCH’s repo service tripled at end-June
Surge in required IM indicates explosion in repo demand
Two Ice clearing houses trim liquid assets
Ice Clear Europe and Ice Clear US both removed cash from commercial lenders in Q2
LCH SA members add €371m to cash, derivatives default fund
Funds for other clearing activities see quarter-on-quarter falls, in contrast
Ice’s European CDS clearing house adds €175m to default fund in Q2
In contrast, futures and options fund shrinks 6% quarter-on-quarter
LCH SA on the hook for €32bn if member defaults
Payment obligation, if realised, would wipe out 50% of CCP’s liquidity buffer
Basel output floor to bind 29% of big banks
But risk-based capital requirements would constrain the largest number of international lenders
European banks set for 18.6% capital hike under Basel III
Model output floor and higher credit and op risk charges will drive most of the increase
Basel III capital shortfall estimate drops by €9 billion
Lower projected credit and market risk capital requirements and model output floor drive reduction
CME issued $1.8 billion VM call in Q2
Margin call was the fourth largest made by CME’s futures and options unit since disclosures began
Metro Bank poised to miss MREL target
After a cancelled bond sale, UK lender is running out of time to raise bail-in capital
Eurex Clearing reports sharp rise in default exposures
Clearing house’s peak same-day payment obligation rose to €5 billion in the second quarter
DTCC default fund contributions climb 15%
CCP had 270 clearing members at end-June
OCC reports 24% spike in default exposure
Clearing house’s peak same-day payment obligation rose to $5 billion in the second quarter