Articles by Lorenzo Migliorato
Citi, JP Morgan incurred record VAR overshoots in Q4
Peak single-day losses rank among worst for US banks post-pandemic
First Citizens’ high-volatility CRE loans doubled last year
Rise in 150%-weighted class of exposures largest among 260 US lenders
Goldman, JPM gain ground in FCM race for swaps
Duo boosted share of required customer funds at the expense of Citi and Morgan Stanley in 2023
Treasuries coupon pile-up inflates Nomura’s foreign sovereign assets
Standardised exposures to overseas governments see tenfold increase despite ebbing IR VAR
Rabobank cuts back on ECL overlays
Improved backtesting performance reduces add-ons to allowances to lowest in five years
At some US regionals, CRE loans eclipse tangible equity by up to 7x
Valley National, NYCB and First Foundation the most levered in a sample of 30 banks
TLTRO hedge unwinding bill tops €1.2bn at BNPP, SocGen
Exit from swaps tripped up by ECB’s tightening marred banks’ 2023 throughout
NYCB’s borrowing boosted cash reserves by 66% in Q4
Embattled bank bolsters liquidity in anticipation of tighter supervision but sees funding costs climb
RBI’s op risk charges climb 22% on input-series update
Recalibration reverses savings from discontinuation of AMA a year earlier
Schwab’s MMF assets rose 225% through Fed’s rate-hike journey
Climb of fund managers’ ranks contrasts with slumping banking deposits
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
US MMFs back in love with US Treasuries in Q4
Cash securities snatch crown from ebbing repos as funds’ top investment
US banks rejig securities to cut mark-to-market losses
Fifth Third leads charge with $12.6bn transfer from AFS to HTM pen
US FCMs wrap up 2023 with required customer funds toeing record high
Wells Fargo, BNP Paribas marked new peaks in December
Basel III endgame expected to push PNC’s RWAs up 3%
Forecast from US regional much tamer than increases expected by advanced-approach banks
Soured CRE loans pile up at BofA, Wells Fargo and PNC
Proportion of non-performing loans surges past the pandemic’s worst stretches
Cleared US repos hit record high as MMFs wean off Fed
Deflating tri-party volumes coincide with FICC DVP trades’ climb to $2tn
BNP Paribas USA in line for $1.2bn capital reprieve
Bank’s subsidiary small enough to escape stress capital buffer under current rules
US MMF repos with dealers hit record amid RRP pullback
Non-Fed trades up 13% in November as facility’s usage declines rapidly
AmEx expansion puts it on track for tougher prudential standards
Lender is within spitting distance of category III designation, which would attract stricter capital and liquidity requirements
Citi, JP Morgan bail-in buffers ebb above minimums
Duo’s long-term debt headroom closest to regulatory requirements among top US banks
Goldman, Barclays, MUFG reap largest G-Sib score cuts
Compressions driven by reductions in complexity and cross-border activity
US dealers’ leverage adequacy hits two-year high on repo compression
Lower repo exposures freed up capacity for derivatives and off-balance sheet items in third quarter