Articles by Alessandro Aimone
Top US banks record 14 VAR breaches
JPM, Morgan Stanley, BofA, Citi, Goldman and State Street wrong-footed in volatile end to 2021
Derivatives exposures up 26% at BP
Oil giant posts fourth consecutive yearly increase in 2021
JP Morgan incurs eight VAR breaches, triggering capital hike
Largest trading loss in Q4 reached 207% of the bank’s VAR limit
CBA sees minimum CET1 up 225bp under Basel III
Apra’s review of the country’s capital framework leaves less wiggle room from January 2023
The Collins flaw: backstop turned binding constraint
US legislative tweak was meant to prevent banks from using their own capital models too liberally. It’s now something different
Apra’s overlay pushes CBA’s market RWAs up 30%
Market risk is at the highest level since Q4 2020
Shell derivatives exposure rose by $15bn in 2021
Over 93% of the oil giant’s derivatives instruments were designated as current
Client margin at Credit Suisse down over $10bn last year
Bank's US clearing units slashed required funds for swaps and F&O
Mizuho’s F&O clearing unit doubled client margin in 2021
Japanese bank overtakes Credit Suisse, UBS and Interactive Brokers to become seventh-largest FCM in required margin
Liquidity risk rose at most CCPs in Q3
JSCC, CME, Ice and Eurex among those that revised their VM estimates
Deutsche’s op RWAs down 10% in 2021
‘Bad bank’ unwinding pushed op risk at multi-year low
Top US banks released $18.5bn of credit reserves in 2021
JP Morgan reversed over $6bn of PCLs, the most of the group
Top custody banks add record $12.7tn assets in 2021
Assets under custody and administration hit an all-time high as the Basel Committee continues its G-Sib framework review
Wells Fargo RWAs drift apart
Standardised RWAs have increased for three consecutive quarters, putting pressure on the bank’s CET1 capital ratio
OCC member default fund contributions climb 11%
CCP's skin in the game up almost 5%
NSCC’s year of living dangerously
The CCP’s models are falling short time and time again, and the consequences could be disastrous
JSCC member received $3bn cash call in Q3
The CCP revised its estimate of the worst-case payment obligation that would have to be met should one of its participants collapse
Credit Suisse’s US clearing unit cuts client margin by over 40%
Required segregated customer funds for swaps, futures and options down sharply since Archegos default
BlackRock’s 65% of AUM accounts for 1% of global emissions
Asset manager’s absolute emissions linked to corporate securities and real estate stood at 330.7 million tons of CO2e in 2020
At LCH, required IM rose over Q3
Required minimum demanded of clients increased at ForexClear, RepoClear and EquityClear, but fell at SwapClear
One NSCC member paid record $40bn to cover dues in Q3
The cash call was 141% larger than the previous quarter
NSCC’s liquidity pool twice short of payment obligation in Q3
The CCP reported a shortfall in its qualifying liquid resources for the third consecutive quarter
CME turns to Fed in rejig of liquidity pool
Central bank balances accounted for more than 70% of the CCP’s total liquidity buffer in Q3
UK banks’ RWAs return to growth
Latest Bank of England data shows first increase since Q1, 2020