Deputy editor, Markets
Alessandro Aimone is the deputy editor of Risk's Markets desk.
He previously worked as a staff writer for Risk Quantum. Prior to joining Risk, he worked as a staff writer for FX Week.
Contact Alessandro at: +44 (0)20 7316 9125 or [email protected].
Third quarter expected credit loss charge was 62% higher than in Q2
NatWest Markets RWAs also increased on the quarter as derivatives positions deteriorated
Market RWAs dropped on the quarter, even though risk levels increased
Clearing houses expand size of secured credit lines over the second quarter
JP Morgan took $1.5 billion of provisions in the third quarter alone
Total Auca stood at $94.4 trillion at end-September
Max payment obligations in event of member default would be sufficiently covered
Surge in required IM indicates explosion in repo demand
Funds for other clearing activities see quarter-on-quarter falls, in contrast
In contrast, futures and options fund shrinks 6% quarter-on-quarter
Model output floor and higher credit and op risk charges will drive most of the increase
Lower projected credit and market risk capital requirements and model output floor drive reduction
Clearing house’s peak same-day payment obligation rose to €5 billion in the second quarter