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Homeen-gbFirst Foundation reveals $215m goodwill chargeEnd-of-year impairment evaluation pushed forward to Q2 amid changing macroeconomic conditions https://www.risk.net/risk-quantum/7956342/first-foundation-reveals-215m-goodwill-charge
https://www.risk.net/risk-quantum/7956342/first-foundation-reveals-215m-goodwill-chargeThu, 10 Aug 2023 04:30:01 +0100Alessandro AimoneStanChart racked up three VAR breaches in H1Market volatility triggers VAR model review at the UK bank https://www.risk.net/risk-quantum/7956329/stanchart-racked-up-three-var-breaches-in-h1
https://www.risk.net/risk-quantum/7956329/stanchart-racked-up-three-var-breaches-in-h1Wed, 09 Aug 2023 04:30:01 +0100Alessandro AimoneNatWest’s LCR dips 4% as liquidity buffers shrinkDrop in net cash outflows contributes to lowest ratio since 2018 https://www.risk.net/risk-quantum/7956647/natwests-lcr-dips-4-as-liquidity-buffers-shrink
https://www.risk.net/risk-quantum/7956647/natwests-lcr-dips-4-as-liquidity-buffers-shrinkTue, 08 Aug 2023 04:30:01 +0100Alessandro AimoneING’s market risk up 13% on higher SVARQ2 figures marked reversal of downward trend for modelled market RWAs https://www.risk.net/risk-quantum/7957402/ings-market-risk-up-13-on-higher-svar
https://www.risk.net/risk-quantum/7957402/ings-market-risk-up-13-on-higher-svarMon, 07 Aug 2023 04:30:01 +0100Alessandro AimoneBefore collapse, Credit Suisse projected lowest cash outflows since 2018Customers were expected to withdraw just $91bn in a 30-day stress period despite heavy outflows going into 2023 https://www.risk.net/risk-quantum/7956335/before-collapse-credit-suisse-projected-lowest-cash-outflows-since-2017
https://www.risk.net/risk-quantum/7956335/before-collapse-credit-suisse-projected-lowest-cash-outflows-since-2017Fri, 24 Mar 2023 04:30:01 +0000Alessandro AimoneCredit Suisse’s funding disclosures raise questionsThe bank reported $141 billion of “other exposures” in NSFR at the end of 2022 https://www.risk.net/risk-quantum/7956319/credit-suisses-funding-disclosures-raise-questions
https://www.risk.net/risk-quantum/7956319/credit-suisses-funding-disclosures-raise-questionsWed, 22 Mar 2023 18:29:43 +0000Alessandro AimoneUBS takeover of Credit Suisse to trigger higher G-Sib surchargeAt 14.2%, UBS’s CET1 capital ratio is more than sufficient to absorb the deal https://www.risk.net/risk-quantum/7956287/ubs-takeover-of-credit-suisse-to-create-giant-g-sib
https://www.risk.net/risk-quantum/7956287/ubs-takeover-of-credit-suisse-to-create-giant-g-sibSun, 19 Mar 2023 19:53:53 +0000Alessandro AimoneFirst Republic had just $11bn eligible for Fed’s new facilityThe bank held nearly $20bn of municipal bonds, representing over 60% of its securities portfolio https://www.risk.net/risk-quantum/7956284/first-republic-had-just-11bn-eligible-for-feds-new-facility
https://www.risk.net/risk-quantum/7956284/first-republic-had-just-11bn-eligible-for-feds-new-facilityFri, 17 Mar 2023 21:33:31 +0000Alessandro AimoneCME revises estimated worst-case payment obligationIRS and F&O clearing units both subject to revision in Q3 https://www.risk.net/risk-quantum/7955542/cme-revises-estimated-worst-case-payment-obligation
https://www.risk.net/risk-quantum/7955542/cme-revises-estimated-worst-case-payment-obligationWed, 04 Jan 2023 04:30:00 +0000Alessandro AimoneMerrill Lynch hoovered up $1.5bn of client margin in OctoberRequired funds for F&O rose 66%, bucking trend across major FCMs https://www.risk.net/risk-quantum/7955540/merrill-lynch-hoovered-up-15bn-of-client-margin-in-october
https://www.risk.net/risk-quantum/7955540/merrill-lynch-hoovered-up-15bn-of-client-margin-in-octoberTue, 03 Jan 2023 04:30:00 +0000Alessandro AimoneLiquidity risk at OCC up 34% in Q3Internal stress-testing of a clearing member’s portfolio triggered upward revision https://www.risk.net/risk-quantum/7955541/liquidity-risk-at-occ-up-34-in-q3
https://www.risk.net/risk-quantum/7955541/liquidity-risk-at-occ-up-34-in-q3Fri, 23 Dec 2022 04:30:00 +0000Alessandro AimoneIce Europe made $7.8bn VM call in Q3Highest cash call on record triggered by higher commodity prices as Europe energy crisis persists https://www.risk.net/risk-quantum/7955543/ice-europe-made-78bn-vm-call-in-q3
https://www.risk.net/risk-quantum/7955543/ice-europe-made-78bn-vm-call-in-q3Thu, 22 Dec 2022 04:30:01 +0000Alessandro AimoneClient margin up 4% at Barclays’ swaps clearing unitUS unit of UK bank became sixth FCM by share in October https://www.risk.net/risk-quantum/7955539/client-margin-up-4-at-barclays-swaps-clearing-unit
https://www.risk.net/risk-quantum/7955539/client-margin-up-4-at-barclays-swaps-clearing-unitWed, 21 Dec 2022 04:30:00 +0000Alessandro AimoneIM at Eurex Clearing’s IRS unit rose again in Q3Heightened market volatility behind latest increase to record high €50.7bn https://www.risk.net/risk-quantum/7955536/im-at-eurex-clearings-irs-unit-rose-again-in-q3
https://www.risk.net/risk-quantum/7955536/im-at-eurex-clearings-irs-unit-rose-again-in-q3Tue, 20 Dec 2022 04:30:00 +0000Alessandro AimoneLiquidity 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 https://www.risk.net/risk-quantum/7955403/liquidity-pool-at-ficcs-government-securities-unit-shrank-49
https://www.risk.net/risk-quantum/7955403/liquidity-pool-at-ficcs-government-securities-unit-shrank-49Thu, 08 Dec 2022 04:30:01 +0000Alessandro AimoneLCH’s fixed income and IRS units hit by record margin breachesPeak breaches in Q3 were £924 million and £698 million in size, respectively https://www.risk.net/risk-quantum/7955402/lchs-fixed-income-and-irs-units-hit-by-record-margin-breaches
https://www.risk.net/risk-quantum/7955402/lchs-fixed-income-and-irs-units-hit-by-record-margin-breachesTue, 06 Dec 2022 04:30:00 +0000Alessandro AimoneFed hike behind $682m and $460m breaches at FICCClearing units for MBS and government securities hit by backtesting deficiencies on September 21 https://www.risk.net/risk-quantum/7955348/fed-hike-behind-682m-and-460m-breaches-at-ficc
https://www.risk.net/risk-quantum/7955348/fed-hike-behind-682m-and-460m-breaches-at-ficcThu, 01 Dec 2022 04:30:01 +0000Alessandro AimoneNew risk indicator shifts EU’s G-Sib score heatmapRevision in substitutability category inflates mid-sized banks’ score, lowers G-Sibs’ https://www.risk.net/risk-quantum/7955050/new-risk-indicator-shifts-eus-g-sib-score-heatmap
https://www.risk.net/risk-quantum/7955050/new-risk-indicator-shifts-eus-g-sib-score-heatmapTue, 08 Nov 2022 04:30:01 +0000Lorenzo MiglioratoAlessandro AimoneModelled RWAs diverge from standardised at Wells FargoGap between the two methodologies hits $152bn – its widest ever https://www.risk.net/risk-quantum/7954882/modelled-rwas-diverge-from-standardised-at-wells-fargo
https://www.risk.net/risk-quantum/7954882/modelled-rwas-diverge-from-standardised-at-wells-fargoTue, 18 Oct 2022 04:30:01 +0100Alessandro AimoneMorgan Stanley’s VAR averaged $61m in Q3Trading risk indicator surged 33%, second-hottest reading since 2013 https://www.risk.net/risk-quantum/7954872/morgan-stanleys-var-averaged-61m-in-q3
https://www.risk.net/risk-quantum/7954872/morgan-stanleys-var-averaged-61m-in-q3Mon, 17 Oct 2022 04:30:01 +0100Alessandro AimoneEuropean banks set for 17.5% capital hike under Basel IIIOutput floor could account for almost half the increase in Tier 1 capital requirements by 2028 https://www.risk.net/risk-quantum/7954720/european-banks-set-for-175-capital-hike-under-basel-iii
https://www.risk.net/risk-quantum/7954720/european-banks-set-for-175-capital-hike-under-basel-iiiMon, 03 Oct 2022 04:30:00 +0100Alessandro AimoneLorenzo Migliorato$899m margin breach at FICC’s mortgage unit Three-day move in TBA prices on June 9 triggered second-highest backtesting deficiency to date https://www.risk.net/risk-quantum/7954679/899m-margin-breach-at-ficcs-mortgage-unit
https://www.risk.net/risk-quantum/7954679/899m-margin-breach-at-ficcs-mortgage-unitThu, 29 Sep 2022 04:30:00 +0100Alessandro AimoneFICC’s government securities unit hit by $995m breachLarge moves in US Treasury yields in June to blame for largest backtesting exception on record https://www.risk.net/risk-quantum/7954615/ficcs-government-securities-unit-hit-by-995m-breach
https://www.risk.net/risk-quantum/7954615/ficcs-government-securities-unit-hit-by-995m-breachMon, 26 Sep 2022 04:30:00 +0100Alessandro AimoneEurex liquidity pool jumps 39% as required IM risesMembers of the IRS clearing unit saw the largest increase of required margin in Q2 https://www.risk.net/risk-quantum/7954553/eurex-liquidity-pool-ebbs-39-as-required-im-rise
https://www.risk.net/risk-quantum/7954553/eurex-liquidity-pool-ebbs-39-as-required-im-riseThu, 22 Sep 2022 04:30:01 +0100Alessandro AimoneIM at three LCH clearing units rose in Q2Increase in clearing volumes pushed collateral up at EquityClear, RepoClear and SwapClear https://www.risk.net/risk-quantum/7917001/lch-raises-required-im-at-three-clearing-units
https://www.risk.net/risk-quantum/7917001/lch-raises-required-im-at-three-clearing-unitsMon, 19 Sep 2022 04:30:00 +0100Alessandro AimoneIce Credit’s required initial margin up 18% in Q2CCP reported highest level on record, superseding Covid-19-induced peak https://www.risk.net/risk-quantum/7874351/ice-credits-required-initial-margin-up-18-in-q2
https://www.risk.net/risk-quantum/7874351/ice-credits-required-initial-margin-up-18-in-q2Thu, 15 Sep 2022 04:30:01 +0100Alessandro AimoneLiquidity risk up 138% at Eurex in Q2CCP revised estimated worst-case payment obligation to highest level on record https://www.risk.net/risk-quantum/7852211/liquidity-risk-up-138-at-eurex-in-q2
https://www.risk.net/risk-quantum/7852211/liquidity-risk-up-138-at-eurex-in-q2Tue, 13 Sep 2022 04:30:01 +0100Alessandro AimonePeak IM call at OCC jumps 38% in Q2Outsized equity price moves behind third-largest IM call on record https://www.risk.net/risk-quantum/7950286/peak-im-call-at-occ-jumps-38-in-q2
https://www.risk.net/risk-quantum/7950286/peak-im-call-at-occ-jumps-38-in-q2Fri, 09 Sep 2022 04:30:01 +0100Alessandro AimoneInterest rate vol triggered three breaches at CME in Q2CCP’s interest rate swaps clearing unit reported its first initial margin shortfalls since Q3 2020 https://www.risk.net/risk-quantum/7954418/interest-rate-vol-triggered-three-breaches-at-cme-in-q2
https://www.risk.net/risk-quantum/7954418/interest-rate-vol-triggered-three-breaches-at-cme-in-q2Wed, 07 Sep 2022 04:30:00 +0100Alessandro AimoneJSCC’s bond and IRS units hit by almost 200 breachesQ2 volatility triggered some of the largest initial margin breaches ever reported by the CCP https://www.risk.net/risk-quantum/7954376/jsccs-bond-and-irs-units-hit-by-almost-200-breaches
https://www.risk.net/risk-quantum/7954376/jsccs-bond-and-irs-units-hit-by-almost-200-breachesMon, 05 Sep 2022 04:30:00 +0100Alessandro AimoneLME member default fund contribution jumps 89%Following record-breaking margin breach in Q1, the CCP plumped up its line of defence https://www.risk.net/risk-quantum/7953976/lme-member-default-fund-contribution-jumps-89
https://www.risk.net/risk-quantum/7953976/lme-member-default-fund-contribution-jumps-89Mon, 29 Aug 2022 04:30:01 +0100Alessandro AimoneJP Morgan’s VAR multiplier increases following Q2 breachCiti also reported one backtesting exception but kept VAR-based market risk capital requirement flat https://www.risk.net/risk-quantum/7953651/jp-morgans-var-multiplier-increases-following-q2-breach
https://www.risk.net/risk-quantum/7953651/jp-morgans-var-multiplier-increases-following-q2-breachFri, 19 Aug 2022 04:30:01 +0100Alessandro AimoneGoldman hoovers up $1.5bn of client margin in JuneUS bank bucks trend as top FCMs all cut required margin for futures and options trades https://www.risk.net/risk-quantum/7953271/goldman-hoovers-up-15bn-of-client-margin-in-june
https://www.risk.net/risk-quantum/7953271/goldman-hoovers-up-15bn-of-client-margin-in-juneThu, 11 Aug 2022 04:30:01 +0100Alessandro AimoneCiti, BNY Mellon escape Collins floorBoth banks return above the threshold after just two quarters https://www.risk.net/risk-quantum/7952111/citi-bny-mellon-escape-collins-floor
https://www.risk.net/risk-quantum/7952111/citi-bny-mellon-escape-collins-floorTue, 19 Jul 2022 04:00:00 +0100Alessandro AimoneFCM client margin for F&O hit all-time high in MayDespite build-up of required margin led by Barclays and Morgan Stanley, concentration among top 10 broker-dealers continues to shrink https://www.risk.net/risk-quantum/7951786/fcm-client-margin-for-fo-hit-all-time-high-in-may
https://www.risk.net/risk-quantum/7951786/fcm-client-margin-for-fo-hit-all-time-high-in-mayWed, 13 Jul 2022 04:30:00 +0100Alessandro AimoneCredit Suisse goes off piste in latest DFASTUS unit of Swiss bank underestimated leverage hit in Fed stress test https://www.risk.net/risk-quantum/7950291/credit-suisse-goes-off-piste-in-latest-dfast
https://www.risk.net/risk-quantum/7950291/credit-suisse-goes-off-piste-in-latest-dfastMon, 11 Jul 2022 04:00:00 +0100Alessandro AimoneForeign banks outperform US peers on DFASTIntermediate holding companies reported higher post-stress capital and leverage ratios under the Fed’s severely adverse scenario https://www.risk.net/risk-quantum/7951046/foreign-banks-outperform-us-peers-on-dfast
https://www.risk.net/risk-quantum/7951046/foreign-banks-outperform-us-peers-on-dfastWed, 06 Jul 2022 04:00:00 +0100Alessandro AimoneOptions expiry triggered $135m liquidity shortfall at NSCCThe CCP collected supplemental liquidity deposits six times during the first quarter https://www.risk.net/risk-quantum/7951271/options-expiry-triggered-135m-liquidity-shortfall-at-nscc
https://www.risk.net/risk-quantum/7951271/options-expiry-triggered-135m-liquidity-shortfall-at-nsccFri, 01 Jul 2022 04:00:00 +0100Alessandro AimoneClient margin at Wedbush unit up 46% in AprilFutures and options clearing unit saw largest monthly increase across all FCMs https://www.risk.net/risk-quantum/7950641/client-margin-at-wedbush-unit-up-46-in-april
https://www.risk.net/risk-quantum/7950641/client-margin-at-wedbush-unit-up-46-in-aprilMon, 27 Jun 2022 04:00:00 +0100Alessandro AimoneAt JSCC, required initial margin up 20% in Q1The bulk of the increase came from members of the clearing service covering ETPs https://www.risk.net/risk-quantum/7950596/at-jscc-required-initial-margin-up-20-in-q1
https://www.risk.net/risk-quantum/7950596/at-jscc-required-initial-margin-up-20-in-q1Thu, 23 Jun 2022 04:00:00 +0100Alessandro AimoneInitial margin at Ice Europe up 15% over Q1IM held against F&O positions hit all-time high, as number of margin breaches nudged higher https://www.risk.net/risk-quantum/7950351/initial-margin-at-ice-europe-up-15-over-q1
https://www.risk.net/risk-quantum/7950351/initial-margin-at-ice-europe-up-15-over-q1Tue, 21 Jun 2022 04:00:00 +0100Alessandro AimoneEurex’s fixed income and IRS units hit by almost 700 breachesPeak breaches in Q1 were €706 million and €214 million in size, respectively https://www.risk.net/risk-quantum/7950436/eurexs-fixed-income-and-irs-units-hit-by-almost-700-breaches
https://www.risk.net/risk-quantum/7950436/eurexs-fixed-income-and-irs-units-hit-by-almost-700-breachesFri, 17 Jun 2022 04:00:00 +0100Alessandro AimoneLiquidity risk down 34% at the OCCProjected largest payment obligation set at $6.2 billion for Q1 https://www.risk.net/risk-quantum/7950266/liquidity-risk-down-34-at-the-occ
https://www.risk.net/risk-quantum/7950266/liquidity-risk-down-34-at-the-occWed, 15 Jun 2022 04:00:00 +0100Alessandro AimoneSwapClear incurs record number of margin breachesLCH’s interest rate derivatives clearing service reported over 4,000 backtesting exceptions in Q1 https://www.risk.net/risk-quantum/7950251/swapclear-incurs-record-number-of-margin-breaches
https://www.risk.net/risk-quantum/7950251/swapclear-incurs-record-number-of-margin-breachesTue, 14 Jun 2022 04:00:00 +0100Alessandro AimoneMorgan Stanley incurs two VAR breachesThe latest backtesting exceptions put the bank one step closer to triggering a capital requirement hike https://www.risk.net/risk-quantum/7950066/morgan-stanley-incurs-two-var-breaches
https://www.risk.net/risk-quantum/7950066/morgan-stanley-incurs-two-var-breachesMon, 13 Jun 2022 04:00:00 +0100Alessandro AimoneNickel price chaos triggered $2bn margin breach at LMEThe CCP reported its largest breach ever in March, as commodities prices went wild https://www.risk.net/risk-quantum/7949726/nickel-price-chaos-triggered-2bn-margin-breach-at-lme
https://www.risk.net/risk-quantum/7949726/nickel-price-chaos-triggered-2bn-margin-breach-at-lmeWed, 01 Jun 2022 14:55:41 +0100Alessandro AimoneJP Morgan leads US banks on surging VAR capital chargesRequirements connected to commodity positions jumped 426% in the first quarter https://www.risk.net/risk-quantum/7949226/jp-morgan-leads-us-banks-on-surging-var-capital-charges
https://www.risk.net/risk-quantum/7949226/jp-morgan-leads-us-banks-on-surging-var-capital-chargesWed, 25 May 2022 04:00:00 +0100Alessandro AimoneClient margin up 43% at Mizuho’s F&O in Q1US unit of Japanese bank overtakes Credit Suisse, Barclays, UBS and Interactive Brokers https://www.risk.net/risk-quantum/7948761/client-margin-up-43-at-mizuhos-fo-in-q1
https://www.risk.net/risk-quantum/7948761/client-margin-up-43-at-mizuhos-fo-in-q1Mon, 23 May 2022 04:00:00 +0100Alessandro AimoneClient margin at Credit Suisse down $14.6bn since Archegos collapseBank’s US clearing units slashed required funds for swaps and F&O since March 2021 https://www.risk.net/risk-quantum/7948171/client-margin-at-credit-suisse-down-146bn-since-archegos-collapse
https://www.risk.net/risk-quantum/7948171/client-margin-at-credit-suisse-down-146bn-since-archegos-collapseThu, 19 May 2022 04:00:00 +0100Alessandro AimoneNo soft landings in flight to safety from RussiaImpact of Ukraine invasion hit bank balance sheets hard; its effects look set to continue https://www.risk.net/our-take/7948526/no-soft-landings-in-flight-to-safety-from-russia
https://www.risk.net/our-take/7948526/no-soft-landings-in-flight-to-safety-from-russiaWed, 18 May 2022 04:30:01 +0100Alessandro Aimone