Articles by Lorenzo Migliorato
Credit Suisse, Schwab and UBS hardest hit by new risk indicator
Swiss dealer sees biggest score increase under revised substitutability category in G-Sib assessment
New risk indicator ensnares BofA, benefits Chinese banks
Overhaul in substitutability category pushed US bank's capital surcharge to 2%
BofA faces higher G-Sib surcharge, BNPP earns reprieve
Second-largest US lender assigned to 2% capital add-on bucket in latest systemic risk assessment
RBI’s VAR gauges hit new record
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
FCM client margin for swaps hit record high in September
JP Morgan reported the largest monthly increase across the 13 reporting firms
Strong dollar pushes ANZ’s CVA charges up 57%
Risk-weighted assets rose A$1.4 billion in three months; biggest quarterly increase since mid-2019
Crédit Agricole VAR hits highest since 2010
Trading risk gauge rose as high as €27 million during Q3
Erste, RBI top up provisions with €258m in overlays
Austrian lenders remain reliant on model supplements as energy squeeze looms
Nomura loses $18m on derivatives CVAs and DVAs
Net result from own and counterparty credit spreads swings to negative
RBI, ING’s op risk charges inflated by AMA updates
RWAs rise a combined €4.8 billion at the two banks
Vol pushed HSBC’s modelled market risk up 37% in Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
New risk indicator shifts EU’s G-Sib score heatmap
Revision in substitutability category inflates mid-sized banks’ score, lowers G-Sibs’
NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine
ABN Amro has EU’s biggest trading volume, new indicator shows
Bank’s activity in secondary market is 2.4 times Deutsche Bank’s
UBS cuts liquidity valuation adjustments to record low
Bank lowered bid-offer fair value discount to reflect current levels of market liquidity
Danske gets Pillar 2 reprieve through $2bn AML provision
Quantifying the hit from Estonian branch investigations earned the bank a 75% cut in add-ons in place since 2018
Barclays frees up £4.5bn RWAs after overissuance clean-up
The bank unwound hedges that safeguarded its buyback of mis-sold US notes
Credit Suisse’s LCR down 20% in October as depositors flee
Sub-group liquidity requirements breached as chatter around bank’s solvency spurred cash outflows
Barclays, Deutsche, Credit Suisse take $437m hit on leveraged loans
Higher interest rates eroded value of facilities stuck in pre-syndication during Q3
HSBC’s quarterly UK provisions rose 111% in Q3
Uncertainty around interest rates and political stability reflected in model overlays
Client margin at Barclays hits record $27bn
Required funds rose 13% for F&Os and 8% for swaps in August
Top US banks set aside $6bn for credit losses in Q3
Quarterly provisions highest in two years
Nordea marks down Danish mortgages by €29 million
House price declines mark ominous signal for other supercharged markets
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses