Articles by Lorenzo Migliorato
Credit risk of EU state-backed loans deteriorated in Q3
Almost 5% of public guarantee scheme loans are designated ‘stage two’
Systemic US banks drew down credit reserves in Q4
JP Morgan released $1.9 billion back into income alone
BofA doubled held-to-maturity book in 2020
The bank moved mortgage bonds into HTM throughout the year
Citi releases $2bn from loan-loss reserves as macro outlook brightens
Total allowances for loan losses are 95% larger than at end-2019
European banks held near €300bn of state-backed loans in Q3
Italian banks see public guarantee scheme loans increase the most quarter on quarter
Covid payment holidays for €224bn of EU loans ended in Q3
French, German and Italian banks saw most loans lose moratoria protection
LCH Ltd sent record €6bn VM call to one clearing member in Q3
Largest estimated payment obligation in the event of a member default also climbs quarter on quarter
JSCC increases skin in the game after merger
CCP added ¥2.4 billion to cover commodities contracts
EU banks’ reliance on ECB loans has grown in Covid’s wake
Central bank funding accounted for 14.5% of Greek banks’ liabilities in September
Banks worldwide have built up liquidity buffers post-Covid
Lenders in Japan have the highest LCRs of global banks surveyed
EU banks built up own-sovereign risks through Covid crisis
Italian, Spanish and French banks in particular saw holdings of domestic government debt surge
Output floor to drive Basel III capital increase at EU banks
About 40% of total Tier 1 capital surge due to limits on modelled RWAs
Wind-down of Deutsche’s ‘bad bank’ slows
German lender expects capital release unit to be €51 billion in size in 2022
CVA charges for Canadian dealers edge off Covid highs
At CIBC, CVA charges fell 12% quarter on quarter
MMFs lengthen portfolio maturity post-Covid – BIS
Average holdings had maturity of 41 days in November
Intesa’s RWAs bloat on UBI merger
Credit risk-weighted assets increased 16% post-takeover
Canada’s ‘Big Five’ see loan-loss provisions halve in Q4
BMO alone recorded a 59% quarter-on-quarter reduction
Impaired loans drop 17% at RBC
Repayments on bad credits up 47% quarter on quarter
Margin calls on insurers, pension funds stoked MMF rout – ECB
Dutch firms accounted for huge share of VM payments in March
€STR transition stymied by addiction to Eonia – ECB
Notional outstanding OIS referencing outgoing rate has increased year-to-date
Capital cliff effect awaits EU banks as Covid support wanes
CET1 ratios have benefited from state intervention, but could drop sharply as measures expire
State-backed Covid loans have light capital impact – EBA
Average risk density of guaranteed loans was 18% at end-June
Aussie bank loan-loss provisions top A$11bn
Westpac absorbed the largest charge of the ‘Big Four’
Liquidity buffers thinned at Morgan Stanley, Goldman in Q3
Build-up of HQLA slows over the third quarter after post-Covid surge