Articles by Lorenzo Migliorato
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
JPM’s EU arm outpaced bloc’s top dealers on OTC derivatives in 2023
A 30% surge in notionals coincided with a departure from central clearing
SGX-DC’s prefunded resources short of stressed losses 37 days in Q2
Latest round of shorftalls linked to double-member default lay bare lack of Cover 2 requirement
UniCredit-Commerz merger could spawn sixth-largest EU G-Sib
Analysis of banks’ risk indicators suggest combined entity could have larger systemic footprint than ING and BPCE
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2