Articles by Lorenzo Migliorato
End of BTFP curtails Comerica’s contingent funding pool
Decision not to take avail of facility’s paper-loss amnesty showcases US regional banks’ conundrum
One-tenth of US banks exceed CRE concentration thresholds
US supervisors face operational challenge with constellation of 536 lenders above risk benchmarks at end-2023
Northern Trust buys $2.4bn of US Treasuries as rate-cut prospects rise
Additions to the 5–10 year portion of AFS book have been, for now, swapped to SOFR
HSBC, Intesa incorporate 2022–23 downturn into SVAR models
Turbulent past two years implied to be worse than GFC in stressed simulations
EBA’s correlated currencies shake-up raises EU banks’ charges
Capital requirements for FX risk double after EUR/USD and other 196 pairs deemed no longer in sync
US banks’ non-core funding dependence ratio jumped in 2023
BHCs’ aggregate figure almost doubled to post-pandemic high last year
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
Smaller US banks hold over half of CRE loans
Lenders under $50bn in assets reported record $1.7 trillion of exposures at end-2023
US systemic banks increase reliance on short-term funding in 2023
Contentious STWF metric weighs heavily on Morgan Stanley and Goldman G-Sib scores
As US MMF assets hit new records, so does manager concentration
Fidelity, JP Morgan and Vanguard commanded 40% of holdings as of February
US banks’ IRRBB transparency: one step forward, two steps back
A year on from the 2023 crisis, more lenders monitor EVE sensitivity, but full Basel-like disclosures remain the exception
Japanese banks’ leverage ratios keep rising as BoJ relief becomes permanent
Norinchukin reaps largest benefit on eve of Covid-19-era exemption being made permanent
CBA’s SFT exposures balloon 50% during H2 2023
Surge in repos and similar transactions puts lender only behind NAB among Aussie dealers
BofA, Citi, JPM slash $18trn of derivatives in latest window dressing effort
Systemic indicator reduction in Q4 keeps lid on trio’s capital surcharges
US FCMs’ residual interest buffers hit record low in December
A decade on from CFTC rules on residual interest target, firms’ segregated cash has not kept pace with client funds
Six US G-Sibs face higher surcharges under Fed’s proposals
Goldman and BNY Mellon only top banks to escape increase, analysis shows
Goldman faces higher 3.5% G-Sib surcharge in 2026
50bp step up in capital add-on looms after dealer’s systemic footprint rose to a record high in 2023
Canada’s top dealers boost derivatives clearing as FRTB kicks in
BMO, RBC and TD Bank cleared record C$45.1 trillion in notionals in Q1
US FCMs far apart on target residual interest levels
Dealers diverge widely in how much capital they deem necessary to cover customer fund shortfalls
Credit Suisse USA rounds 2023 with fifth VAR breach
Wall Street unit’s capital multiplier ratchets back up to 3.4x
Five US banks hit record leverage exposures
Ballooning balance sheets leave Goldman, Morgan Stanley with razor-thin SLR buffers
Citi, JP Morgan incurred record VAR overshoots in Q4
Peak single-day losses rank among worst for US banks post-pandemic
First Citizens’ high-volatility CRE loans doubled last year
Rise in 150%-weighted class of exposures largest among 260 US lenders
Goldman, JPM gain ground in FCM race for swaps
Duo boosted share of required customer funds at the expense of Citi and Morgan Stanley in 2023