Articles by Lorenzo Migliorato
Surging gross repo costs highlight US dealers’ divergence on netting
Lack of offsetting in GAAP presentation leads BNY and Northern Trust to report paying double- or triple-digit rates on fed funds, repos
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
Basel III spurs €62bn credit RWA reshuffle at Rabobank
Bank switched corporate portfolios from A- to F-IRB on eve of reforms’ January 1 go-live
US dealers’ OTC clearing rates plunge to multi-year lows
Cleared notionals down $24.3trn in Q4 amid year-end compression push
BofA, JPM face 50bp increase in G-Sib surcharge
Surge in systemic indicators puts banks on track for 3.5% and 5% add-ons in 2027
Credit fears drive US banks’ IRC requirements to 2022 highs
JP Morgan, BofA lead with triple-digit surge in Q4
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
Norinchukin’s repo retreat brings SFT exposures to four-year low
Japanese bank slashes gross SFT assets 54% in Q4, accelerating pullback from repo market to bolster capital
US dealers tally most VAR breaches since mid-2023
Market turmoil in Q4 blindsides models at systemic and regional banks alike
HSBC’s SVAR hits highest in six years on interest rate sensitivity
Lofty readings in the last quarter of 2024 push associated RWAs to $13 billion
French banks’ equity VAR surges to multi-year highs
Volatility pushes fourth quarter readings at BNP Paribas, Crédit Agricole and SocGen to levels unseen in recent years
Clients’ share of IRS clearing margin hit record high
Data from CME, Eurex and LCH shows clearing members’ house IM fell in January, pushing client proportion to 67.7%
JP Morgan logs two VAR breaches as trading revenue slumps
Largest trading loss in Q4 reached 262% of the bank’s VAR limit, matching a breach reported at the height of the Covid-19 pandemic
Comerica, Popular and Ally most battered by agency RMBS markdowns
One-fifth of investment’s value eroded as of December 2024
First Citizens doubled pay-fixed interest rate swap book in Q4
Rejig of hedging instruments hints at higher-for-longer rate assumption
UBS blunts Basel III RWA impact, gains time for Credit Suisse integration
Bank secures valuable time to integrate legacy assets and prepare for forthcoming regulatory challenges
US MMFs retrenched to Fed repos as 2024 wrapped up
Allocation needs trump yields, boosting RRP exposure by 125% in December
Valley National cuts CRE exposure amid charge-offs and loan sales
Exposures fall to 362% of total capital, but portfolio keeps deteriorating
US MMFs clear record one-third of repos via FICC
Trades executed through sponsored access hit a $865 billion high at end-2024
Capital One’s CRE charge-offs creep back up
Office property segment pummelled hardest, as charge-off rates increase twelvefold in Q4
US MMFs tilted from repo to cash USTs in November
Outright allocations captured growing share of funds’ record cash pile
Deutsche tops EU lenders in mid-2024 surge for bad CRE loans
German lender worst hit among bloc’s systemic banks as soured exposures rose 153% in 12 months
TD Bank’s annual op loss tab surges 144% amid AML settlement
US plea deal drives bank’s op RWAs to record C$120 billion
Junk-rated CDS clearing rates slid in H1 2024
Shift away from CCPs concentrated in sub-investment grade multi-name products