Articles by Alessandro Aimone
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
UK bank LCRs drifted lower in Q2
HSBC saw group-level LCR decline as it reorganised its capital stack
Over two years, UK G-Sibs levered up in contrast to EU peers
But UK CRR leverage ratios still higher than eurozone rivals
Credit risk grows share of big EU banks’ RWAs
Deutsche Bank leads the field, with credit RWAs increasing share of total by 294bp year-on-year
Among Canadian banks, credit provisions leap highest at BMO
Aggregate provisions for credit losses up 0.7% quarter-on-quarter at “Big Five”
Time for a (proper) G-Sib speeding ticket
Fed’s systemic risk assessment has become box-ticking exercise, and US banks are getting away with it
Risk density of US systemic banks trumps that of EU peers
Ratio of RWAs to leverage exposures averages 44.7% at US G-Sibs
JSCC member default fund contributions fall to ¥676bn in Q2
Default fund contributions shrink 19%, but members’ initial margin payments climb
JSCC turns to cash in rejig of liquidity reserve
Clearing house withdraws ¥29.9 billion from repo market
Swaps between UK banks and foreign firms climb in Q2
Total value of derivatives assets and liabilities with overseas lenders hits £2.09 trillion
TD Bank closes on TLAC target
Lender sold four bail-in bonds last quarter, boosting its TLAC ratio to 18.9%
US G-Sibs grow and multiply ties with other banks
Big eight banks grow by 1.5% in aggregate in Q2
Scotiabank eyes capital savings following divestments
Wind down of overseas investments expected to increase CET1 capital ratio by 50bp
Six US banks grow systemic footprints
BAML and Citi climb into higher G-Sib surcharge buckets
UK leverage ratios edge lower as regulatory minimums climb
Additional leverage buffers raise minimum required ratios well above 3.25% floor
At CIBC, commodity, forex and rate risks raise VAR 12%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
Cleared swaps surge $6.6trn at US G-Sibs in Q2
Cleared swaps accounted for 54% of G-Sib notionals in Q2
At US G-Sibs, swap payments make up $178bn of LCR outflows
All bar one G-Sib see net derivatives cash outflows increase year-on-year
MREL target drifts further out of Rabobank’s reach
Dutch bank has current MREL ratio of 27.8%, compared with target of 28.58%
Liquidity coverage at US G-Sibs worsens in Q2
HQLA rose $18bn while projected net cash outflows jumped $29bn
State Street, Goldman push VAR limits the most
Average of largest trading losses-to-VAR at State Street above 90% over past 12 months
State Street, UBS and TD Group incur VAR breaches
Backtesting exceptions cause TD Group's and State Street's market risk capital charge multipliers to climb
At US G-Sibs, market RWAs fall $18bn in Q2
Fall in VAR-based measures of risk behind the decrease
EU banks increase systemic footprint
Values used for seven of 12 systemic risk indicators climb year-on-year