Articles by Lorenzo Migliorato
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
RBI’s structural FX charges climb on unhedgeable ruble
Trading-book RWAs under the standardised approach have soared 234% since Ukraine invasion
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
US systemic banks’ use of STWF hits record high
BofA, Citi, Goldman and JP Morgan hit new peaks
Trading and AFS securities hit record high at US G-Sibs
Rebounding fair values and appetite for trading inflate indicator used in annual G-Sib assessment
BofA, JPM hoover up $104bn of US Treasuries in Q1
As Fed’s first rate cut nears, banks revamp their AFS holdings
RBC’s CVA capital charge up 22% since FRTB adoption
Bank eschewed revised standardised approach in favour of simpler yet constraining formulas
Norinchukin hit with 54% rise in op RWAs
Recalibration of underlying parameters is first under new standardised measurement approach
Santander USA cuts market risk charges by 16%
Trading risk consolidation under IHC inflates VAR charges, nets cut to total requirements
Credit Suisse USA posts trading loss for 288% of VAR
Swiss bank’s subsidiary one of only three US dealers to incur backtesting exception in Q1
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
JP Morgan SE allocates €318m for structural credit spread risk
Bank’s EU arm among first to disclose figure following EBA’s diktat on more granular monitoring of CSRBB
Schwab’s short-term funding strategy shifts to secured borrowing post-2023 scare
Dealer cut unsecured borrowing and brokered deposits in favour of collateralised financing
Japanese banks reap ¥9trn RWA savings from FRTB switch
Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches
US MMFs’ cleared repos top half-a-trillion dollars
FICC-routed transactions increased 52% in the 12 months to April
Lloyds’ standardised market risk charges tripled in Q1
Hedging-related setback pushes market RWAs to an all-time high
NYCB turns to repos, discount window in cash-hoarding push
Bank had previously supplemented funding needs almost exclusively with FHLB advances
HSBC, StanChart SVAR charges hit multi-year highs
Stressed trading-loss measure makes up 43% of banks’ modelled market risk charges
DVAs inflate US banks’ liabilities by $4.9bn
Credit spread retrenchment since last year’s crisis comes with flipside of larger structured-product liabilities
NYCB doubles down on borrowing as deposits keep ebbing
Wholesale funding made up a third of the bank’s interest expense in Q1
Republic First’s securities portfolio lost over $400m in 2024
Fair-value losses on non-agency RMBS holdings accelerated as rate cut expectations dimmed