Articles by Alessandro Aimone
Five eurozone G-Sibs cut op RWAs in Q3
Deutsche Bank cut €5.7 billion quarter on quarter
Santander’s CVA charge up 15% in Q3
Other eurozone G-Sibs see their CVA requirements fall
Rate options and futures volumes plummet $10trn in Q3
Open interest in short-term options collapses 10% quarter on quarter
Big US banks cut OTC notionals by $10trn in Q3
Cleared notionals made up 54% of aggregate total notionals outstanding
JSCC issued ¥486bn VM call in Q3
Estimated largest payment obligation sized at ¥620 billion
JSCC had a top margin breach of ¥114m in Q3
Three backtesting exceptions disclosed for 12-month period to end-September
RWA density drops at Goldman Sachs
Bank built up stocks of risk-free assets in third quarter
Fifth Chinese bank nears G-Sib designation
Build-up of trading assets and hard-to-value instruments contributed to Bank of Communication’s G-Sib score increase
Threats posed by systemic banks vary by region
Eurozone and UK G-Sibs are too big to fail because of their cross-border activities, Chinese G-Sibs because of their size
JP Morgan usurps Deutsche as world’s largest derivatives bank
US bank increased notionals 5.9% in year to end-2018
Substitutability cap spares JP Morgan higher Basel G-Sib score
JP Morgan could be in higher G-Sib bucket with cap removed
Top banks’ trading books dwindled in 2018
Trading and available-for-sale assets dropped €160 billion year-on-year
Now less of a systemic risk, Deutsche wins capital relief
Prospective leverage ratio should fall to 3.75% after risk-cutting efforts
TD Bank added to too-big-to-fail list
The bank’s total exposures climbed 2.4% to €931 billion year-on-year
JP Morgan takes axe to tough-to-model trading risks
US G-Sibs see market RWAs fall 4.1% quarter on quarter
Off-balance-sheet exposures at JP Morgan climb $19.8bn in Q3
Goldman Sachs expands off-balance-sheet exposures 10% quarter-on-quarter
StanChart’s CVA charge jumps 39% in Q3
CVA accounts for an ever-increasing portion of the bank’s total counterparty credit risk
Goldman, State Street amass losing trading days in Q3
Tough market conditions also led to VAR breach at Goldman Sachs
Goldman, BBVA and TD Group incur VAR breaches in Q3
US unit of TD Group endures four breaches in three months to end-September
UK bank LCRs fall again in Q3, led by StanChart
Buildup of net cash outflow amounts erode liquidity coverage ratios
Mid-cycle stress tests tougher on banks than DFAST
Median CET1 ratio drops 200bp more under mid-cycle than Fed-run tests
Wells Fargo could escape Collins floor
Op risk-weighted asset increases see advanced RWAs near standardised measures
Morgan Stanley’s swaps clearing unit boosts client margin by $4.8bn
In total, FCMs see required client margin increase 18% quarter on quarter
BNY, Goldman, HSBC lag in mid-cycle stress tests
Periodic health checks show banks would hurdle regulatory minimums under severe market crisis