Articles by Lorenzo Migliorato
UBS Americas’ delinquent mortgages up sixfold post Credit Suisse merger
Share of delinquent exposures jumps to 1.2% of bank’s total real estate loan portfolio
FICC captures record share of US MMF repos
Fed facility sees continued outflows as funds redirect assets
New CRE model adds $1.8bn to UBS’s RWAs
Swath of exposures moved from standardised to IRB approach in the second quarter
Deutsche curbs CVA charges to record low
Addition of hedges in Q2 helps cut RWAs by 26%, outpacing other European banks
Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
Credit options notional for top US dealers soars 45.3%
Investor demand for puts and calls drives balances near Q1 2022 record
US G-Sibs’ SLR exposures top record for second consecutive quarter
Aggregate leverage exposures up $455 billion in H1
Citi, Barclays raise FCM target residual interest 28% in June
Backstop funds also marginally up as a proportion of required customer funds
Valley National cuts CRE concentration after balance sheet tweak
Reassessment of nursing-home loans as ‘owner-occupied’ brings CRE-to-capital benchmark down 24 percentage points in Q2
AFS securities sale costs Truist $6.8bn
Purge of investment securities marks largest single-quarter loss by a US bank in 10 years
US banks endure climb in charge-off rates
Write-offs spread from consumer and CRE portfolios to other corporate lending
BofA’s collateralised mortgage obligation holdings surge 263%
Second-quarter purchase in line with trend among top US dealers of expanding AFS books beyond Treasuries
JP Morgan and BofA’s credit loss provisions highest since Covid outbreak
Quarterly set-asides eat into 13% and 11% of banks’ NIIs in Q2
DCOs show resilience beyond key default thresholds – CFTC
Reverse stress test reveals clearing houses remain resilient under low to moderate market shocks
Shifting tack, Goldman bought $6.7bn of agency RMBS in Q1
Purchase of amortised-cost securities is first diversification away from US Treasuries in seven years
Four US MMF managers return to Fed repos in May
Fidelity and American Funds among managers opting to increase investments in RRP