Articles by Lorenzo Migliorato
Credit risk exposures shrink share of top UK banks’ RWAs
Barclays reported the biggest drop, both on a quarterly and yearly basis
EU bail-in debt sales plummeted 47% in H2 2020
Effects of pandemic continue as MREL-compliant liabilities drop, SRB figures show
Deutsche leads eurozone banks on exempted exposures
German bank increased central bank reserves currently excluded from leverage ratio the most in Q1
Post-merger, Caixa’s credit RWAs jump 47%
In RWA terms, the newly created entity is now bigger than Commerzbank and Rabobank
Finma add-on inflates Credit Suisse’s credit RWAs
The Sfr5.8 billion additional capital buffer accounts for two-fifths of bank’s quarterly increase
US banks add $130bn in carve-out assets as SLR relief ends
JP Morgan led the top US banks in increasing their stock of US Treasuries and excess reserves
BoE relief waives record £718bn off UK banks’ leverage exposures
On average, the UK leverage ratio of the top five lenders stood 80bp points higher than the CCR iteration in Q1
RWA density rises at Citi, BNY Mellon and State Street
The eight US G-Sibs reported total assets of $14.2 trillion, up 5% quarter on quarter
Central clearing rates for CDSs hit record high
A volatile 2020 pushed more single- and multi-name contracts to central counterparties
Commonwealth Bank’s LCR dips 13% as liquidity buffer shrinks
The Australian bank reported liquidity assets of A$171 billion, down 6% from the previous quarter
OTC derivatives values surge 36% in 2020
Foreign exchange derivatives were largely responsible for the overall increase in fair values in the second half of last year
Commerzbank’s leverage ratio dips as balance sheet swells
German lender adds €37.2bn of leverage exposure in Q1
Commerzbank’s op RWAs hit 10-year low
The bank added 20bp to its CET1 capital ratio in Q1
ABN Amro’s market risk charge grew 54% over Q1
Dutch bank hit with higher VAR and SVAR multipliers
Citi edges towards Collins floor
The gap between standardised and advanced RWAs has shrunk significantly during Q1
Goldman’s swaps clearing unit boosts client margin by $1.2bn
The top eight FCMs accounted for 95.8% of total client required margin, down 96.4% YoY
UniCredit cut RWAs the most of EU systemic banks in Q1
The €10.8 billion cull helped improve the Italian bank’s CET1 ratio 52bp
SocGen’s cash pile grew to €163bn in Q1
Central bank deposits surge while other HQLAs shrink
BNP Paribas’ VAR hit 12-year high in Q1
Equity portfolio VAR surged 27% quarter on quarter
UK banks released £671m of loan-loss provisions in Q1
HSBC, Lloyds and NatWest all released surplus credit reserves
Deutsche slashed market RWAs by one-fifth in Q1
Macro-hedging touted as RWA-saving tool
Trading VAR at UBS peaked after Archegos blow-up
Swiss bank still posted a fall in market RWAs quarter on quarter
Derivatives footprint of top EU banks shrinks
Deutsche Bank reduced these exposures by 12% alone
Archegos debacle prompts Credit Suisse to slash prime services
Executives pledged $35 billion of cuts to investment bank leverage exposure