Alessandro Aimone
RiskNet
United Kingdom
Contact Alessandro
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Past articles by Alessandro:
CME revises estimated worst-case payment obligation
IRS and F&O clearing unit both subject to revision in Q3 → Read More
Merrill Lynch hoovered up $1.5bn of client margin in October
Required funds for F&O rose 66%, bucking trend across major FCMs → Read More
Liquidity risk at OCC up 34% in Q3
Internal stress-testing of a clearing member’s portfolio triggered upward revision → Read More
Ice Europe made $7.8bn VM call in Q3
Highest cash call on record triggered by higher commodity prices as Europe energy crisis persists → Read More
IM at Eurex Clearing’s IRS unit rose again in Q3
Heightened market volatility behind latest increase to record high €50.7bn → Read More
LCH’s fixed income and IRS units hit by record margin breaches
Peak breaches in Q3 were £924 million and £698 million in size, respectively → Read More
Modelled RWAs diverge from standardised at Wells Fargo
Gap between the two methodologies hits $152bn – its widest ever → Read More
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028 → Read More
LCH raises required IM at three clearing units
Members of EquityClear, RepoClear and SwapClear saw collateral demand rise in Q2 → Read More
Ice Credit’s required initial margin up 18% in Q2
CCP reported highest level on record, superseding Covid-19-induced peak → Read More
Peak IM call at OCC jumps 38% in Q2
Outsized equity price moves behind third-largest IM call on record → Read More
Interest rate vol triggered three breaches at CME in Q2
CCP’s interest rate swaps clearing unit reported its first initial margin shortfalls since Q3 2020 → Read More
JSCC’s bond and IRS units hit by almost 200 breaches
Q2 volatility triggered some of the largest initial margin breaches ever reported by the CCP → Read More
LME member default fund contribution jumps 89%
Following record-breaking margin breach in Q1, the CCP plumped up its line of defence → Read More
JP Morgan’s VAR multiplier increases following Q2 breach
Citi also reported one backtesting exception but kept VAR-based market risk capital requirement flat → Read More
Goldman hoovers up $1.5bn of client margin in June
US bank bucks trend as top FCMs all cut required margin for futures and options trades → Read More
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters → Read More
Credit Suisse goes off piste in latest DFAST
US unit of Swiss bank underestimated leverage hit in Fed stress test → Read More
Foreign banks outperform US peers on DFAST
Intermediate holding companies reported higher post-stress capital and leverage ratios under the Fed’s severely adverse scenario → Read More
Options expiry triggered $135m liquidity shortfall at NSCC
The CCP collected supplemental liquidity deposits six times during the first quarter → Read More