Articles by Lorenzo Migliorato
UniCredit-Commerz merger could spawn sixth-largest EU G-Sib
Analysis of banks’ risk indicators suggest combined entity could have larger systemic footprint than ING and BPCE
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
UBS Americas’ clearing rate dips post Credit Suisse integration
US arm of Swiss bank cleared $47bn in notionals in the second quarter, the lowest since end-2021
IM and default funds drive big variance in EU bank CCP exposures
BNP Paribas accounts for 55% of top dealers’ €126 billion exposures
Fourteen US banks poised to benefit from curtailed market risk rule
Fed’s changes to Basel III endgame proposal would keep regional banks with limited trading activity exempt from costly FRTB requirements
UBS Americas’ delinquent mortgages up sixfold post Credit Suisse merger
Share of delinquent exposures jumps to 1.2% of bank’s total real estate loan portfolio
FICC captures record share of US MMF repos
Fed facility sees continued outflows as funds redirect assets
New CRE model adds $1.8bn to UBS’s RWAs
Swath of exposures moved from standardised to IRB approach in the second quarter
Deutsche curbs CVA charges to record low
Addition of hedges in Q2 helps cut RWAs by 26%, outpacing other European banks
Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
Credit options notional for top US dealers soars 45.3%
Investor demand for puts and calls drives balances near Q1 2022 record
US G-Sibs’ SLR exposures top record for second consecutive quarter
Aggregate leverage exposures up $455 billion in H1
Citi, Barclays raise FCM target residual interest 28% in June
Backstop funds also marginally up as a proportion of required customer funds
Valley National cuts CRE concentration after balance sheet tweak
Reassessment of nursing-home loans as ‘owner-occupied’ brings CRE-to-capital benchmark down 24 percentage points in Q2
AFS securities sale costs Truist $6.8bn
Purge of investment securities marks largest single-quarter loss by a US bank in 10 years
US banks endure climb in charge-off rates
Write-offs spread from consumer and CRE portfolios to other corporate lending
BofA’s collateralised mortgage obligation holdings surge 263%
Second-quarter purchase in line with trend among top US dealers of expanding AFS books beyond Treasuries
JP Morgan and BofA’s credit loss provisions highest since Covid outbreak
Quarterly set-asides eat into 13% and 11% of banks’ NIIs in Q2
DCOs show resilience beyond key default thresholds – CFTC
Reverse stress test reveals clearing houses remain resilient under low to moderate market shocks
Shifting tack, Goldman bought $6.7bn of agency RMBS in Q1
Purchase of amortised-cost securities is first diversification away from US Treasuries in seven years
Four US MMF managers return to Fed repos in May
Fidelity and American Funds among managers opting to increase investments in RRP
Trading losses cancel out Goldman’s revenue in 2024 stress test
Bank hit hardest among those tested for market shock and counterparty default
JP Morgan sails through DFAST with 200% AOCI reversal
Only major dealer to turn mark-to-market losses into gain in simulated recession
Capital One, Discover loan portfolios hardest hit in Fed stress test
Simulated losses wipe out more than 1/6th of respective exposures