Articles by Lorenzo Migliorato
Barclays, unlike UK peers, saw its LCR surge in Q3
High-quality liquid assets surged 9% quarter on quarter
BNP Paribas’ RWAs shrank over €10bn in Q3
CET1 ratio climbed 20bp to 12.6%
Covid measures burnished NatWest’s capital ratios in Q3
UK bank’s CET1 ratio benefited 100bp from IFRS 9 relief alone
Model tweaks, asset cull helped Credit Suisse cut RWAs in Q3
Model updates took Sfr 2.5 billion off its credit RWA total
Deutsche’s cash buffer ballooned in Q3
The bank had borrowed €34 billion through the ECB’s TLTRO III as of September
FX headwinds cancel out HSBC’s Q3 RWAs cut
Portfolio reductions reaped $10.8 billion of RWA savings
Cross-border bank loans fizzled in Q2 as bonds soared – BIS
Outstanding dollar-denominated bonds climbed 4% over Q2
Barclays’ RWAs shrank on Q3 tailwinds, but loan failures loom
Decline in loan creditworthiness has added £9.8 billion to RWAs year-to-date
Banks’ cross-border exposures to shadow lenders fell in Q2
Loans and deposit claims reduced most over the quarter
UBS market RWAs dropped 25% in Q3 as VAR cooled
High value-at-risk outputs dropped out of averaging window in Q3
Systemic US banks’ RWAs edge lower in Q3
Bank of America reaps benefit of op risk cut
BNY Mellon, State Street reshape liquidity buffers
HQLA falls as share of custody banks’ investment portfolios
EBA’s software treatment offers banks meagre capital benefits
Three-year prudential amortisation approach more generous than initial two-year proposal
Factoring in Covid turmoil amped Bank of America's VAR in Q3
Value-at-risk averaged $109 million over three months to end-September
Seeking capital savings, JP Morgan shifts assets to holding pen
Transfer of assets to HTM portfolio could reduce stress capital buffer in future
Level 3 assets fell at top US banks in Q2
Mark-to-model instruments disclosed by banks over $100 billion in size contracted 4%
LCRs of big EU banks rebound faster than smaller rivals in Q2
G-Sibs bolster ratios 19 percentage points in three months to end-June
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
Souring loans piled up at EU banks in Q2
Share of loans that have declined in creditworthiness made up 8.2% of lenders’ totals
Sovereign bond IM increases at LCH Ltd
Margin held in own sovereign debt up 50% year-on-year
European banks’ liquidity ratios improved over H1
Average ratio across 23 lenders climbed to 151%
Which EU banks hold the most loans subject to Covid relief?
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
VAR spasms heap market risk charges on EU G-Sibs
VAR-based charges increase 94% on end-2019
Systemic US banks crushed cleared OTC notionals in Q2
Outstanding amounts fall 12% quarter-on-quarter