Articles by Lorenzo Migliorato
Trading VAR surged at Credit Suisse in Q2
Market risk-weighted assets up 20% quarter-on-quarter
Deutsche slashed ‘bad bank’ RWAs in H1
Leverage exposures linked to capital release unit have fallen 20% in six months
Coronavirus shock to hit diversified lenders hardest – ECB
Diversified and wholesale lenders projected to see CET1 ratio decline 7 percentage points under worst-case scenario
Valuation risks fell at UBS in Q2
Swiss lender is sitting on $8.1 billion of Level 3 assets
CCPs added cash to their liquidity buffers in Q1
CME increased cash reserves at central banks by 271% quarter-on-quarter
Credit scenario update drives UBS loan-loss reserves higher
Gloomier US outlook contributes to $272m of Q2 provisions
At Danske Bank, market RWAs soar as credit risks dip
Bond binge contributes to 36% increase in market risk charge
Systemic US banks put aside $35bn for credit losses in Q2
JP Morgan takes a $10.5 billion provision charge alone
Modelled RWAs diverge from standardised at Goldman Sachs
Advanced approaches RWAs are now 10% higher than standardised
VAR doubles at JP Morgan in Q2
Trading risk for fixed income products jumps to $129 million
LME Clear stretched by CCP stress tests
Metals clearing house would exhaust prefunded resources under Esma’s default shock scenario
At top US banks, stress test capital hit driven by dividends
Shareholder giveaways make up bulk of post-stress capital losses at JP Morgan, Morgan Stanley, Bank of America
LCH SA incurs record number of margin breaches in Q1
Largest initial margin shortfall amounted to €100 million
Foreign banks and Fed at odds on stress test impacts
HSBC North America predicted a loan-loss rate of 2.7%, well below the Fed’s 6% estimate
US banks lowball loan pain, overstate trading hit in Fed tests
In aggregate, systemic lenders underestimated loan-loss provisions by 18%
Discover, Capital One loans ravaged by Fed stress test
Credit card losses especially pronounced among regional US lenders
Systemic European banks’ bail-in buffers fell in Q1
Bail-in debt stocks increase, but balance sheet expansion crimps TLAC ratios
Prudential filters crimp some banks’ own funds, boost others
Two banks saw CET1 climb more than 5% at end-2019 through the EU’s valuation adjustments
Niche EU lenders loaded with loans to peripheral eurozone
Top European banks have limited exposures to Greece, Cyprus, Spain, Portugal and Italy
EU bank credit models neglect peripheral countries
A majority of non-core EU exposures are under the standardised approach
French, UK banks have largest trading portfolios in Europe
Fair value and HFT assets concentrated among biggest banks
Greek, Italian banks lead EU on IFRS 9 capital relief
Intesa Sanpaolo saw CET1 capital add-in of €2.6 billion
Credit Suisse nets 37% sovereign RWA cut
At end-2019, 75% of its government portfolio was under the standardised approach, up from 14% the year prior
Systemic European banks expanded scope of credit models in Q1
UniCredit and Santander have increased reach of IRB approaches the most among their peers