Articles by Lorenzo Migliorato
Fed spares US Bancorp tighter liquidity straitjacket
Having committed to category II standards by end-2024, bank risked incurring LCR shortfall
HSBC’s rate-hedge reset to generate $1bn bond loss
Unwind of lower-yielding bonds costs $578m in Q3, with another $400m expected by year-end
Nordic banks’ RWAs rise $9bn on Swedish risk-weight floor rejig
Constraints on real-estate exposure modelling result in Pillar 2 charges moving to Pillar 1 requirements
Ally says only a third of long-term debt qualifies for Fed bail-in rule
Bank holding company would face shortfall of $3.5 billion of debt under new standards
PacWest’s loans jitter, deposits dwindle in race towards merger
Merging partner Banc of California also sees deposit base slip further
JP Morgan, BofA say Basel III plan could wipe out capital cushion
Banks forecast $82 billion cumulative hike in capital requirements from Fed proposals
Goldman writes off $506m of intangibles in GreenSky disposal
Only sliver of original investment to return to CET1 capital
PE funds exit boots Wells Fargo’s capital ratio
Two billion dollars of investment sales in Q3 added 14bp to CET1
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
Wells Fargo has thinnest TLAC headroom globally
Bail-in funds sat 8% above required amount at end-June, smallest gap among the 25 banks subject to the standard
RBI’s modelled market charges surge 31% as SVAR spike
Widespread volatility in first half of year inflated stressed gauge despite 2022 wind-down of rouble positions
RBC’s credit derivatives book grows fourfold on market-making push
Notionals of credit protection sold and purchased have ballooned 236% and 382% respectively since October 2022
EU banks set for 6.7% capital hike on output floor tweaks removal
Unwind of EU-specific transitional arrangements could suddenly inflate Tier 1 risk-based charges, EBA analysis suggests
RBC’s loan-underwriting VAR drops 59% as volumes dry up
Widening credit spreads had previously sent market risk on syndicated loans skyrocketing
Some US banks defy yield uncertainty to grow AFS securities
Treasuries remain preferred buy, but regionals also pile into munis, MBS in Q2
Deutsche’s IRC peaks at record high during H1
€905m charge for trading book default and migration is largest among global dealers
Citi, JP Morgan slash $3tn of OTC notionals in Q2
Trimming of cleared portfolios bucks trend across top US banks
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches
US systemic risk scores hit records at JPM, Citi and 5 others
Riskiness of top dealers inflated by fair-value securities and higher reliance on short-term funding
US-regulated IHCs retrench from VAR limits
Largest daily trading losses in Q2 were on average 50% of forecast, down from 102% in Q1
JPM’s new EU arm is bloc’s 4th largest derivatives bank
Frankfurt-based dealer eclipsed homegrown G-Sibs in 2022 on several indicators
Comerica’s VAR multiplier spikes following eight breaches in Q2
Worst one-day trading loss at Dallas-based company was six times as large as its forecast
Goldman most threatened by Fed’s rejig of modelled capital charges
End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements
Nine US banks could be caught by Fed’s revised market risk rule
Expansion of trading risk charges to banks above $100bn in assets would also affect firms with minimal trading activity