Articles by Alessandro Aimone
Before collapse, Credit Suisse projected lowest cash outflows since 2018
Customers were expected to withdraw just $91bn in a 30-day stress period despite heavy outflows going into 2023
Credit Suisse’s funding disclosures raise questions
The bank reported $141 billion of “other exposures” in NSFR at the end of 2022
UBS takeover of Credit Suisse to trigger higher G-Sib surcharge
At 14.2%, UBS’s CET1 capital ratio is more than sufficient to absorb the deal
First Republic had just $11bn eligible for Fed’s new facility
The bank held nearly $20bn of municipal bonds, representing over 60% of its securities portfolio
CME revises estimated worst-case payment obligation
IRS and F&O clearing unit both subject to revision in Q3
Merrill Lynch hoovered up $1.5bn of client margin in October
Required funds for F&O rose 66%, bucking trend across major FCMs
Liquidity risk at OCC up 34% in Q3
Internal stress-testing of a clearing member’s portfolio triggered upward revision
Ice Europe made $7.8bn VM call in Q3
Highest cash call on record triggered by higher commodity prices as Europe energy crisis persists
Client margin up 4% at Barclays’ swaps clearing unit
US unit of UK bank became sixth FCM by share in October
IM at Eurex Clearing’s IRS unit rose again in Q3
Heightened market volatility behind latest increase to record high €50.7bn
Liquidity pool at FICC’s government securities unit shrank 49%
Clearing unit did not disclose any highly marketable collateral and repo values of underlying securities as part of available liquidity buffer in Q3
LCH’s fixed income and IRS units hit by record margin breaches
Peak breaches in Q3 were £924 million and £698 million in size, respectively
Fed hike behind $682m and $460m breaches at FICC
Clearing units for MBS and government securities hit by backtesting deficiencies on September 21
New risk indicator shifts EU’s G-Sib score heatmap
Revision in substitutability category inflates mid-sized banks’ score, lowers G-Sibs’
Modelled RWAs diverge from standardised at Wells Fargo
Gap between the two methodologies hits $152bn – its widest ever
Morgan Stanley’s VAR averaged $61m in Q3
Trading risk indicator surged 33%, second-hottest reading since 2013
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
$899m margin breach at FICC’s mortgage unit
Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date
FICC’s government securities unit hit by $995m breach
Large moves in US Treasury yields in June to blame for largest backtesting exception on record
Eurex liquidity pool jumps 39% as required IM rises
Members of the IRS clearing unit saw the largest increase of required margin in Q2
IM at three LCH clearing units rose in Q2
Increase in clearing volumes pushed collateral up at EquityClear, RepoClear and SwapClear
Ice Credit’s required initial margin up 18% in Q2
CCP reported highest level on record, superseding Covid-19-induced peak
Liquidity risk up 138% at Eurex in Q2
CCP revised estimated worst-case payment obligation to highest level on record
Peak IM call at OCC jumps 38% in Q2
Outsized equity price moves behind third-largest IM call on record