LCH SA incurs record number of margin breaches in Q1
The listed derivatives unit of LCH’s Paris-based clearing house reported a sixfold rise in margin breaches during the first quarter, with the biggest initial margin call for the period clocking in at a massive €100 million ($113 million).
Backtesting breaches over the rolling 18-month period ending March 31 amounted to 147, up from 23 at end-2019.
The peak breach in Q1 eclipsed the previous record of €3 million posted in Q4 2019. The average margin breach size was €5 million.
//LCH SA’s
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
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
US regional banks hold smaller proportion of high quality assets
Share of Level 1 assets at Capital One, Truist, US Bancorp lowest across US banks subject to LCR
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
Like SVB, five other US lenders saw negative NII growth in 2022
Ally, Customers, First Foundation, Morgan Stanley and PacWest were pressured by rising rates
Ahead of collapse, SVB’s interest expense climbed 1,700%
Lending income failed to keep pace with higher deposit costs as Fed reshaped rates environment
Soft inflation print triggers initial margin breaches at FICC
Clearing units for MBSs and government securities hit by backtesting deficiencies as coverage levels dip
Small banks set for 2% capital reduction under Basel III
Lower leverage ratio requirements expected to offset Tier 1 capital increases for credit risk and output floor
