Articles by Alessandro Aimone
DTCC, Ice Clear Europe lead top CCPs in boosting liquidity buffers
CCPs added $20.8 billion to their liquidity buffers in the third quarter of 2018
EU banks slash €32 billion soured loans in Q3
Italian, Greek and Spanish banks cut most toxic loans
Nasdaq default came at time of mass margin breaches
CCP's clearing members incurred 49 margin breaches as of end-September
Ice Clear Europe posts $1.2bn margin breach in Q3
In total, 55 margin breaches reported at end-September 2018
Two stress tests give conflicting verdicts on UK banks
Under the BoE’s severe stress scenario, the average drop to UK banks’ CET1 capital ratios was 740bp, compared with 570bp under the EBA’s adverse scenario
US banks pare reliance on unsecured funding
Average share of unsecured wholesale funding falls to 42% in a year
EU countries accelerate countercyclical buffer increases
Eleven EU members currently apply CCyBs, with Bulgaria the most recent country to join the club
Fall in market risk prods UK bank RWAs lower
Total RWAs amounted to £2.9 trillion at end-September
JSCC bond unit reports 26 margin breaches in Q3
JGB turmoil, heightened activity may have caught clearing members off-balance
OCC default fund drops $5bn under new approach
Switch to stress-testing based approach triggers drop in required default resources
Interest rate ETD volumes tick up in Q3
Longer-dated contracts push total open interest higher
BNPP leads big EU banks in growing IRB exposures
French bank adds €25 billion of modelled exposures in third quarter
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
Goldman sees third-quarter fall in market RWAs
Market RWAs fell $13 billion across the eight US G-Sibs
Model tweaks, loan growth lift Swiss bank credit RWAs
Credit RWAs grow Sfr26 billion at Credit Suisse and UBS year to year
Op risk jumps $7 billion at Aussie banks
Year to year, op RWAs have swelled $24 billion
Cross-border risks drive European G-Sib scores
Basel method shows cross-jurisdictional activity makes up 30.8% of banks’ total G-Sib scores
Market risk drops €5 billion at big EU banks, reversing trend
Banco Santander posts largest reduction of group, with market RWAs falling €2.2 billion
Barclays and Lloyds improve resilience to stress tests, HSBC falls back
Capital headroom above pass/fail thresholds increases to 250bp at lenders
Custody banks add $1.2trn assets, BNY Mellon overtakes State Street
The combined total hit $93 trillion at end-September
Basel and Fed G-Sib methods pose dual test to US banks
Different emphasis of rival frameworks could frustrate bank efforts to reduce systemic risk
Citi, State Street grow off-balance sheet exposures
Big US banks add $11 billion in exposures during Q3
VAR-based charges drop at Goldman and Wells, rise at JP
VAR-based capital requirements fell 7% on average across the eight G-Sibs
Goldman's OTC client margin jumps
FCM client funds increase 36% year-on-year – the fastest growth among leading US clearers