Articles by Lorenzo Migliorato
MMFs’ reverse repos with Fed surged 35% last year
Fidelity-run funds drove 29% of the $601 billion in new trades
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
BNY Mellon, Goldman join Citi in escaping Collins floor
Outpaced drop in standardised RWAs pushes banks above threshold – but custodian only bank to reap benefits
Bucking wider trend, Citi’s cash trove ends 2022 up 31%
Liquid balances surged 14% in the last quarter of the year alone
EU G-Sibs outpace non-systemic peers on Level 3 asset growth
Increase in mark-to-model holdings threatens to inflate too-big-to-fail lenders’ systemic profile
Goldman’s VAR drops 20% in Q4
Retreat led by commodities and interest rate risk
JP Morgan nets $1.9 billion bond book gain in swift turnaround
Q4 reversal in fair-value securities powers record quarterly increase in CET1 capital
Covid-forborne and state-backed loans keep creaking louder
Share of non-performing ex-moratoria and guaranteed exposures at EU banks balloons amid energy crisis, EBA data shows
Top US lenders book $6.2bn in provisions in Q4
Loan-loss charges at Bank of America, Citi, JP Morgan and Wells Fargo hit highest since pandemic outset
At US banks, risk-free exposures hit lowest in two years
Just under a third of credit assets carried a 0% risk-weight in Q3
Client margin for swaps drops to virtually zero at Credit Suisse
Required funds posted to the bank’s US clearing unit totalled $12 at end-2022
Uncleared, unrated CDS notionals boomed in H1 2022
Non-cleared trades up 21% in six months and 14% in twelve, BIS data shows
Client margin for swaps hits new record at four FCMs
Required funds at all-time high at BofA, Goldman, JP Morgan and Barclays in November as market turbulence persists
Shadow banks grew net repo claims to record $2.1trn in 2021 – FSB
Non-bank intermediaries, led by money market funds, tapped Fed’s reverse repo window as rates began their ascent
ECB ratchets up Pillar 2 charges across top lenders
UniCredit, BNP Paribas, SEB and Swedbank worst-hit in latest SREP round
FSB: third of climate stress tests not tackling physical risk
Six jurisdictions conducted exercises only for transition risk
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
Rifts widen across EU banks’ trading results
Largest fair-value hits from HFT assets moved further from median in H1
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
Standardised market charges rose faster at IMA users in H1
Market convulsions and structural FX hedge crackdown felt less acutely at SA-only banks, finds EBA data
Savers and funds grabbed MBSs as banks and Fed retreated
Central banks and commercial lenders became net sellers of bundled mortgages as rates rose, says BIS
BMO suffers C$10bn capital floor bite
Charges to constraint-modelled RWAs rose sixfold during Q3
OTC clearing rebounded at G-Sibs in 2021
Trend reverses as bilateral settlement of OTC derivatives loses previous year’s gains