Articles by Alessandro Aimone
Securitisations push Barclays' market risk capital higher
UK bank reports 37% hike in securitisation capital charge year-on-year
Goldman Sachs cuts CVA capital 39% in 2018
On aggregate, CVA charge across US G-Sibs fell $2.2 billion to $14 billion year-on-year
Clearing members inject $2.5bn to JSCC default funds in 2018
Higher contributions likely reflect increased exposures at the CCP
Off-balance sheet exposures dip at US G-Sibs in Q4 2018
Goldman Sachs posted the largest drop quarter-on-quarter
European and UK G-Sibs cut leverage at year-end
Barclays posted the largest quarterly increase of 60bp
US banks boost sales of CDS, reversing two-year trend
BofA Securities increased CDS notionals the most, adding $30.3 billion to its portfolio
US G-Sibs’ VAR-based charges jump 23% in Q4 2018
On aggregate, the eight G-Sibs posted a VAR-based capital charge of $2.9 billion
Canadian Big Five hoard reserves as credit outlook decays
Four of the five largest Canadian lenders saw provisions rise, with BMO the only outlier
Sberbank's switch to IRB approach lifts capital ratio
Despite the RWA increase, the bank's CET1 capital ratio rose 20 basis points, to 11.6%
Choppy markets, buying spree cause 28% VAR surge at BMO
The bank's VAR spiked for all asset classes bar commodities on the prior quarter
Structured product holdings fall at big US dealers
Morgan Stanley's portfolio more than halves in 2018 to $401 million
Legal fines dent StanChart profits
The bank put aside $900 million last year to cover penalties related to a series of investigations
US banks’ trading edge slips in 2018
G-Sibs lost on almost half of all trading days last year
At US G-Sibs, 11 VAR breaches in 2018
The final quarter of 2018 saw a record number of VAR breaches at the biggest US banks
Model expansion cuts Barclays' counterparty risk by 24%
Total CCR risk-weighted assets shrink on modelled exposure measurement approach approval
Debt-issuance spree helps Lloyds hurdle MREL target
Total funds and eligible liabilities rose to £66.8 billion at the end of last year, up 23% from 2017
Cleared swaps grow 10 times faster than bilateral at HSBC
Total derivatives notionals up 25% year-on-year
Morgan Stanley derivatives exposures grow
Bank reports first increase in derivatives exposures since Q2 2017
Goldman suffers first VAR breach since 2016
Goldman reported 45 days in the calendar quarter where it suffered a trading loss
VAR model under scrutiny as RBS’s breaches spike
Excessive backtesting exceptions lead to increase in capital multiplier
End of an era: Credit Suisse dissolves resolution unit
The Swiss bank’s SRU reduced its total leverage exposure in 2018 to $30 billion – below the bank’s end-year target of $40 billion
Luxembourg is latest EU state to hike countercyclical buffer
In total, EU states hiked CCyB rates 13 times last year, up from six in 2017
Equity risk amps up Citi’s VAR charges
Requirements connected to equity positions jumped 49% quarter-on-quarter
We need to talk about Collins
Standardised capital has become the binding constraint for all US G-Sibs bar Goldman and BNY Mellon