Articles by Lorenzo Migliorato
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
Covid credit outlooks for UK banks vary
Standard Chartered and HSBC have worst downside outlooks relative to their own base cases
Rates and FX exchange-traded derivatives markets cooled in Q2
Interest rate options and futures turnover halved over three months to end-June
Change to risk-weight floor amps EU banks’ securitisation RWAs
BNP Paribas’ banking book securitisation RWAs increased 32% on end-2019
Barclays led UK banks in growing CDS book through Covid shock
Dealer saw credit derivatives notionals balloon £58.1 billion over the first half
Credit Suisse, UBS counterparty exposures ballooned in Q2
Risk-weighted assets lagged surge in EAD
UK banks’ rate swaps books continued to grow in Q2
Interest rate swap exposures hit £4.42 trillion
Swiss banks plumped liquidity buffers in Q2
Credit Suisse’s HQLA increases 26% quarter-on-quarter
Tougher OTC trading conditions to persist, say European banks
Seventy-three per cent of respondents expect tight price and non-price terms through September
Barclays led European banks on derivatives notionals in 2019
Deutsche Bank cut notionals 10% last year
Eurozone hedge funds put cash to work in Q2
Deposit and loan claims made up 20% of total assets in Q1