Articles by Lorenzo Migliorato
Japan Post marks down CLOs by ¥122bn
Lender has increased holdings of CLOs 76% since Q4 2018
Commerz tags €5bn of CLOs as hard-to-value
Buyers’ strike makes mark-to-market pricing impossible for structured credit
UK banks eye Pillar 2 savings after PRA intervention
Top lenders could free £4.4 billion of capital
BNP incurs nine VAR breaches in Q1
Market RWAs jump 37% to €26 billion
New securitisation rules weigh on UK banks
HSBC sees capital charge increase 41% quarter-on-quarter
UK banks put £7.6bn aside for credit losses in Q1
Impairment charges were roughly double aggregate net profits at top lenders
Bleak macro view pushes Lloyds’ ECL over £5bn
Anticipated loan losses for commercial loans up 39% on end-2019
PRA relief blunts market risk surge at Barclays, StanChart
Without temporary measures, market RWAs would have been 18% higher at StanChart
CVA, market RWAs more than double at UBS in Q1
Overall risk-weighted assets increased 10% on end-2019
Finma relief unlocks $90bn of leverage exposure at Credit Suisse
Central bank deposit carve-out is intended to support lending
US banks’ leverage soared in Q1 before Fed’s reprieve
JP Morgan alone saw leverage exposure climb $112 billion
Amid Covid crisis, top US banks give $32bn away to shareholders
Buybacks exceeded Q1 2019 total, despite voluntary suspension on March 15
Top US banks issue $35bn of SOFR-linked debt in 2020 to date
Citi leads on notes placed year-to-date
Bank of America shifts mortgage bonds into holding pen
By cutting available-for-sale assets, bank should avoid equity volatility
US banks stand apart as top lenders cancel dividends
Capital savings would equal 3% of end-2019 aggregate total if payouts suspended
Local banks’ CDSs chase Italy’s sovereign risk higher
MPS and Banco BPM creditworthiness lags Italy’s
Top US banks’ buyback freeze to bolster capital above $30bn
Suspension will save the equivalent of 4% of aggregate CET1