Articles by Lorenzo Migliorato
Initial margin requirements for IR swaps hit record $325bn
CME, Eurex and LCH report aggregate 10% rise in month marred by most severe crisis since 2008
Schwab turns to costly FHLB advances as deposits drop
Bank draws $45.6 billion in facilities carrying four times the interest rate paid on deposits
US banks seize chance to transfer securities from HTM to AFS
Wells Fargo, JP Morgan and Citi reclassify $34bn following new hedge accounting treatment
As rates rose, KeyBank unwound 94% of pay-fixed swaps
Sale of AFS hedges left book exposed throughout late 2022, much as at ill-fated SVB
For 11 US regionals, capital adequacy hinges on AOCI waiver
A repeal of the 2019 provision would hit KeyCorp and Charles Schwab the most
First Republic burned through short-term investments in 2022
Cash and securities maturing within a year went from over- to undermatching short-term funding liabilities
The Catch-22 of US banks’ liquidity buffers
US banks are using held-to-maturity bonds to underpin liquidity adequacy, grating against accounting guidance. What happens if they’re forced to sell?
Santander, Credit Suisse hit hardest by AOCI in Europe
Unrealised losses, mostly from exchange rate swings, shave huge chunks off CET1 capital
Five regional banks predict lower income from higher rates
IRRBB simulations show lending revenue shrinking as Fed policy gets tighter
Deutsche Bank health check comes back clean
From capitalisation to derivatives, Germany’s top bank displays as robust a prudential profile as its peers
First Citizens closer to tighter rules after SVB deal
With assets more than doubling to $219bn, acquisitive bank flirts with category III designation
ING’s Russia loans sour five times faster than UniCredit’s
Risk density of Dutch bank’s Russia portfolio soars from 54% to 229% during 2022
CaixaBank, UniCredit most exposed to rate increases in Europe
Banks report largest hits in IRRBB tests, but remain clear of fail threshold
At US banks, less than 50% of liquid assets classified as AFS
Goldman Sachs reported smallest proportion relative to HQLAs across US banks subject to LCR
Like SVB, five other US lenders saw negative NII growth in 2022
Ally, Customers, First Foundation, Morgan Stanley and PacWest were pressured by rising rates
Ahead of collapse, SVB’s interest expense climbed 1,700%
Lending income failed to keep pace with higher deposit costs as Fed reshaped rates environment
RBC’s settlement risk charges blow up 260%
C$3.5 billion RWA figure marks one of the heftiest capitalisation of held-up trades ever by a bank
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
Contrarian Goldman grew fair-value bond book in 2022
Held-to-maturity securities balloon, but bank also adds mark-to-market Treasuries as others curtail them
UK banks added £1.6bn to loan allowances in 2022
Increase in set-asides driven by stage-two and stage-three credit-loss reserves
Nordea’s market RWAs drop 20% on Q4 SVAR cut
Last quarter marked reversal of fortunes after 30-month high hit in June
‘Hung’ leveraged loans push Barclays’ VAR to 10-year high
Trading risk gauge hit a peak of £73 million in Q4, £2 million shy of 2012 peak
CBA’s IRRBB charges finally ease
After over a year of surging charges for interest rate risk, last quarter of 2022 brought reprieve