Articles by Lorenzo Migliorato
ECB’s Trim found 900 flaws with 31 banks’ market risk models
Remedying shortcomings added €11 billion to market RWAs in aggregate
Prudential filters took a smaller bite out of bank capital in 2020
Additional valuation adjustments deducted €1.3 billion less from CET1 at top banks
ECB’s models review heaped €275bn of extra RWAs on banks
Average bank CET1 capital ratio fell 71bp through Trim process
Morgan Stanley’s VAR hit eight-year high in Q1
High risk-of-loss indicator coincides with Archegos collapse
BofA kept up bond binge in Q1
Bank added $172bn of debt securities to portfolio over first three months of the year
JP Morgan’s SLR falls as Fed relief ends
Bank says raising capital against deposits are “unnatural actions for banks”
Share of small EU bank assets under standardised approach grew in 2020
At small banks, SA covered 88% of credit exposures
EU systemic banks added €9bn to capital through IFRS 9 break
UniCredit was the top beneficiary with an 82 basis points CET1 ratio boost
Archegos fiasco clips Credit Suisse’s capital ratio
CET1 ratio will be “at least” 12% for Q1
Securitisations lowered Intesa’s credit RWAs in Q4
Synthetic securitisation shaved €2.2 billion off of credit RWAs alone
Dividend freeze helped keep lid on bank CDS spreads – BIS
But the ban on distributions wrecked bank share prices
SocGen’s STS securitisations hit €9 billion in 2020
‘Simple, transparent and standardised’ exposures had half the capital charges of the rest of the book
SA-CCR more a burden to Credit Suisse than UBS in 2020
At Credit Suisse, SA-CCR RWAs increased 134%
BNP Paribas’s LCR hit record high in 2020 in wake of deposit glut
HQLA jumped 10% in Q4
At 40% of EU banks, credit risk own-funds deviate from benchmarks
Eleven banks lowballed capital requirements without justification in latest exercise
Portfolio shifts aided credit RWA reductions at Dutch banks in 2020
At ING, 0% risk-weighted sovereign exposures kept a lid on RWA inflation
Euro banks’ trading activities pose lopsided risk to capital – ECB
Elevated downside risks to capital posed by net trading income
Risk density of Santander’s securitisation book hits five-year high
Synthetic securitisations helped cap credit RWAs last year
Riskiness of internationally-active UK banks edged up in 2020
Risk density across top five UK banks fell year on year
UK banks added £140bn to HQLA in 2020
Barclays saw its LCR improve the most over the course of 2020
High-earning banks set aside more Covid provisions – BIS
Provisions across 70 banks in H1 2020 were almost quadruple those taken in H2 2019
‘Big Five’ Canadian banks’ provisions doubled in pandemic year
However, over three months to end-January, set-asides dropped dramatically
UK banks count cost of EU software capital reversal
Average CET1 ratio would fall 29 basis points
At Lloyds, more loans miss repayments as they exit moratoria
Majority of delinquent loans are mortgages