Articles by Lorenzo Migliorato
ING takes €5.2bn RWA hit from SA-CCR and last of Trim
Regulatory inflation negates RWA decrease from better loan-book quality
Natixis buyout cost BPCE 70bp of CET1 ratio in Q2
Cash cost of offer for main subsidiary offset partly by increase in shareholder equity
ECB sees slim gains, larger losses if EU tweaks Basel III
Staff paper says using parallel stack output floor would push up funding costs longer-term
Covid-forborne loans default en masse in EBA stress test
13.4% of ex-moratoria exposures in ‘stage three’ default at 2023 test end-point
Nomura’s LCR rebounds after early-year dip
Cooling cash outflows at the ratio's denominator compounded HQLAs increase
Credit Suisse’s op risk up $6.5bn on subprime-era litigation
Increase offsets the removal of Archegos-related capital add-on by Finma
Trim, SA-CCR weigh on Santander’s RWAs
Regulatory changes and model updates shave 24bp off the bank’s CET1 ratio
Capital One’s Tier 1 leverage ratio climbs 70bp in Q2
Higher AT1 reserves helped boost the leverage adequacy to 12.4%
UBS incurred two VAR breaches in Q2
Risk Quantum understands the VAR backtesting exceptions stemmed from the Archegos blowout
UBS revises credit and counterparty risk estimate
Changes to the bank’s models and methodology expected to add $6bn in second half of the year
Wobblier eurozone banks most exposed to climate change
Lenders with lower CET1 ratios and weaker returns could face more credit defaults from global warming
BofA grows securities book, but shuns US Treasuries
The bank adds $78.7bn in Q2, mostly in the held-to-maturity book
Seeking SCB relief, Goldman cuts equity investments
Plans for less capital-intensive balance sheet could shave 140bp off capital requirements
Covid-forborne EU loans sour faster as more exit moratoria
Exposures classified as stage two rose 37% in the first three months of 2021
UK banks’ RWAs near record low – BoE
Lower credit and counterparty RWAs led the quarterly drop, latest figures show
Eurozone banks add €10bn of Level 3 assets in Q1
First quarterly increase in mark-to-model assets post-pandemic
Nomura understated VAR capital charges by 13% in H2 2020
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
Morgan Stanley’s stress test estimate strays from Fed’s
Half of US systemic lenders lowball capital hits in DFAST 2021
At Citi, Goldman larger OTC swaps books drive up systemic risk scores
Increase in trading and available-for-sale securities bump systemic risk scores higher at BofA and JPM
Citi, Wells Fargo face higher stress capital buffer add-ons
Both G-Sibs are outliers, as Fed slaps on higher capital requirements following latest round of stress tests
Banks’ DFAST performances even out
Analysis shows a more nuanced distribution of post-stress results
Fed stress test: JP Morgan would bear brunt of losses
Dealer’s giant loan portfolio hit the hardest among 23 participating banks
Fed stress tests stretch Goldman Sachs, HSBC
US dealers toe binding minimums in latest DFAST exercise
Assets under custody creep up at BNY, JP and State Street
Across the eight US systemically important banks, custody assets rose 27% year on year