Risk
Required margin by FCMs hit all-time high
JP Morgan reported the largest monthly increase across the 48 reporting firms
Members of CME’s F&O unit added $950m to default fund in Q4
Market volatility triggered a $3.4bn peak initial margin call on one day during the last quarter of 2021
Ice Clear Europe hit by $1.03bn margin breach
The CCP’s futures and options division reported its second largest IM breach ever in Q4, as energy prices skyrocketed
Liquidity risk up 163% at Ice Clear Credit in Q4
Rate hike expectations led to the highest level on record of contributions to the CCP’s default fund
At CME, central bank balances hit all-time high
Over 70% of the CCP’s loss-absorbing funds stashed at the Fed, as interest rate expectations drive liquidity pool expansion
EU banks kept building Russian exposures as sanctions loomed
Latest EBA data shows the bloc’s lenders cut holdings of government debt securities, but increased commitments to private sector
SwapClear’s required initial margin up 3% at end-2021
IM held against interest rate positions rose to highest level in a year
LCH turns to central banks in rejig of liquidity pools
Central bank balances hit all-time high, despite aggregate fall in liquidity buffer in Q4
EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
Peak IM calls at FICC leapt 13% in Q4
Number of margin breaches at the central counterparty’s GSD also edged higher, as some members increase exposures after margin calculations
OCC member default fund contributions jump 8%
CCP’s skin in the game fell slightly in Q4, making up 1.8% of the prefunded total
On Russia, finance needs to find its moral compass
The looming risk of big write-offs should prompt investor rethink
US unit of Barclays close to a VAR breach in Q4
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Barclays, HSBC held $12trn of Libor swaps on eve of cessation
Both banks made significant progress over 2021, but more remains to be done
Client margin up 39% at HSBC’s F&O unit in January
FCM reports highest amount since Q2 2020
Interview with Sarah Friar, chief executive at Nextdoor: part 1 of 2
Sarah Friar, chief executive at Nextdoor, says the platform is different from others in that it is welcoming and offers a diversity of perspectives. It is founded on trust
Interview with Sarah Friar, chief executive at Nextdoor: part 2 of 2
Sarah Friar, chief executive at Nextdoor, says enterprise risk assessments are vital because, when done well, they are great mental models and helpful for playing out scenarios
Machine learning models: the new standard in capital markets
Zoi Fletcher speaks to Alexander Sokol, founder and executive chairman at CompatibL, about why he believes machine learning technology will be used to calculate risk measures across the industry going forward
Sanctions threaten top pension funds’ Russia assets
Top global pension funds might dump Moscow-linked holdings in response to Ukraine invasion
Russian banks draw over 3trn rubles at 1-day repo auction
Country’s central bank allotted full amount on offer, the highest amount since 2014
Citi leads US banks in cutting market risk
Aggregate market RWAs across systemic banks down $26 billion, despite Bank of America bucking the trend
US banks see highest number of loss-making days in six years
Wells Fargo, Citi and JP Morgan the worst performers in record-breaking Q4
Rabobank sees 5–10% RWA inflation from Basel III
Dutch mortgage floor and other model curbs set to accelerate reforms’ impact