Articles by Lorenzo Migliorato
Nomura switches to lower-confidence VAR model
Internal measure of potential market loss brings bank in line with the likes of JP Morgan and BofA
Derivatives exposures take toll on Japan leverage measure
Leverage ratios at Mizuho, SMFG and SMTH hit multi-year lows
Australian banks’ charges for rates risk soar 66% in Q1
Sudden rise in longer swap tenors eats into equity generation potential
RBI’s market risk gauges go haywire on Ukraine war fallout
Portfolio reshuffling helps Austrian bank contain RWA impact
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
BNP Paribas notches three VAR breaches in Q1
Latest count puts bank on cusp of capital penalty
UniCredit takes 92bp core ratio hit as Russian risks bite
Italian lender books €1.2bn of provisions, €9.5bn of new RWAs
French tax fraud verdict costs UBS $4.1bn of additional op RWAs
Extra capital charges will be split across the first six months of the year
NatWest’s market RWAs up 8% on higher VAR multiplier
Bank incurred regulatory backtesting exceptions amid heightened market volatility
Market volatility weighs on UBS
Higher VAR and SVAR charges lifted market RWAs by $2.9bn in Q1
US trading blunder costs Barclays £2.8bn in credit RWAs
The latest hit follows a £540 million provision to cover the over-issuance of structured notes
Deutsche’s SVAR window update adds €2.2bn to RWAs
First-quarter surge comes after four consecutive reductions
Fair-value losses shave 50bp off HSBC’s CET1 ratio
Further buybacks in the latter part of 2022 unlikely as core ratio falls close to bank’s own guidance
UBS settlement risk up 238% as sanctions snag Russia trades
Held-up and failed counterparty transactions add almost $1bn to RWAs
China’s top banks slashed market RWAs by $15bn in 2021
Aggregate market RWAs at top five lenders down 17% in year marred by domestic and overseas volatility
Standardised approach extends reach over US banks’ RWAs
Gap between standardised and advanced RWAs at its widest ever for BofA, BNY Mellon, Morgan Stanley and Wells Fargo
Fair-value losses derail payout plans at State Street, BNY
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
Goldman’s VAR climbs to $98 million in Q1
Commodity and interest rate risk push average VAR to its highest reading since 2020
SocGen, ING most exposed to rate shocks among EU banks
Banks’ economic value of equity would shrink under higher rates scenarios
JP Morgan takes $524m XVA loss on nickel, Russia trades
Margin calls, markdowns and rising funding costs result in biggest XVA loss since early 2020
The murky world of transparency disclosures
Lack of data granularity on Russian exposures should prompt a rethink by regulators and banks alike
EU banks kept building Russian exposures as sanctions loomed
Latest EBA data shows the bloc’s lenders cut holdings of government debt securities, but increased commitments to private sector
EU banks racked up VAR breaches in 2021
Crédit Agricole and ING Bank hit with higher multipliers after exception count rises
Berkshire Hathaway outruns index puts it sold pre-GFC
Options that netted Warren Buffett’s company hefty premiums would be worthless at end-2021 market levels