Articles by Lorenzo Migliorato
Model clampdown costs NatWest 157bp of CET1 ratio
Measures to remedy internal model deficiencies added £14.8 billion RWAs overnight
HSBC’s SA market RWAs double on new structural FX rules
Move from Pillar 2 to Pillar 1 for unhedged FX risk adds $6.8bn of RWAs
UniCredit ties buybacks to Russian exposure fallout
The Italian lender could lose as much as 200bp of CET1 ratio from a full write-down of Russian assets
Barclays, HSBC held $12trn of Libor swaps on eve of cessation
Both banks made significant progress over 2021, but more remains to be done
Barclays’ modelled RWAs jump 71%
SVAR pinned to Covid-19 panic drives latest quarterly increase
Raiffeisen’s Russia assets hit new high at end-2021
The Austrian lender kept growing its balance sheet in the country even as Moscow’s manoeuvres put it on a path to all-sweeping sanctions
StanChart reports first VAR breach since Q2 2020
Three exceptions recorded in the fourth quarter put the bank one step away from a higher capital requirement
Sanctions threaten top pension funds’ Russia assets
Top global pension funds might dump Moscow-linked holdings in response to Ukraine invasion
Russia sanctions risk putting $105bn out of foreign banks’ reach
But international claims on the country have fallen by half since 2014
SG, UniCredit, RBI most exposed to Russia as sanctions loom
EBA data shows €47bn of exposure to Russia from five most-exposed EU banks
Regulation triple-whammy lops 63bp off StanChart’s CET1
January 1 saw the introduction of SA-CCR, curbs on IRB modelling and the reversal of software capitalisation benefits
Rabobank sees 5–10% RWA inflation from Basel III
Dutch mortgage floor and other model curbs set to accelerate reforms’ impact
GM Financial’s derivatives fall 72% in value in 2021
A steeper forward interest rate curve paired with an appreciating dollar erased most of the gains booked by the carmaker’s lending arm in 2020
Shadow US banks cool on riskier leveraged loans
Lowest-quality syndicated loans held by non-banks fall, though they remain well above pre-pandemic levels
RWA increase puts ABN’s core ratio closer to Basel III estimate
Higher RWAs shrink gap between actual and pro forma ratios
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
CBA’s IRRBB charge up 37% in volatile Q4
Volatility in Australian dollar swap rates the culprit for the increase
Credit Suisse cuts leverage exposure by $52bn
Investment banking unit bears brunt of post-Archegos balance sheet trimming
Netting challenges push ING’s market RWAs up 64%
A regulatory issue left the bank unable to consolidate cross-border positions in Q4
Regulatory straitjacket adds $7bn to Danske’s credit RWAs
Remedials to improve internal models push total RWAs up 5%
Nordea’s trading VAR keeps climbing amid rate hike jitters
Trading risk gauge surged 17% through Q4
ING’s interest rate VAR spiked in Q4
Potential-loss indicator for rates trading peaked at €20 million
UBS sees $20bn RWA impact from Basel III
Increase expected to materialise by 2024 following the implementation of new rules on FRTB, CVA, credit and operational risk
UBS incurred a VAR breach in Q4
The latest larger-than-expected loss – the fourth in 2021 – leaves the bank one step closer to higher capital requirements