Articles by Lorenzo Migliorato
US primary dealers mark largest settlement failures to date under T+1
Hung-trade volumes hit highest in two years at the end of September
US MMF investments near $7trn amid short-term yield chasing
Surging inflows led some managers to turn to Fed’s RRP facility for risk-free cash allocation
KeyCorp refreshes AFS portfolio with $7bn CMBS sale
Strategic shift taps peak valuations and Scotiabank investment to reduce AOCI pressure
US repo-clearing premium soared to post-pandemic high in Q3
Spread to non-cleared tri-party rates widened earlier and further than in previous quarters
CDS clearing rates hit 71% high around September iTraxx roll
CFTC data shows tilt away from bilateral settlement mainly in Europe-referencing instruments
Mizuho Americas has highest non-core funding ratio of any US bank
High-level measure of duration mismatch is three times that of next bank, BNP Paribas USA
EquityClear’s IM concentration hits record high
Membership dwindles as LCH SA continues to wind down service
UniCredit slashes CCP exposures by nearly 40% in a year
Lower exposures at default for exchange-traded derivatives the main driver behind overall drop
Markdowns on Japan Post Bank’s domestic bonds widen 50%
Unrealised losses on JGBs-dominated book compounded by out-of-the-money foreign-bond hedges
ASX member paid record $154m to cover dues in Q2
Single-member largest payment obligation beat 2015’s high by 40.8%
EU dealers added €38bn of Level 3 assets in 2023
Groupe BPCE, DZ Bank led accumulation of mark-to-model instruments
IM requirements at LCH ForexClear hit record high in Q2
Latest figures show a 32% increase quarter on quarter to $10.7bn