Articles by Lorenzo Migliorato
Morgan Stanley’s stress test estimate strays from Fed’s
Half of US systemic lenders lowball capital hits in DFAST 2021
At Citi, Goldman larger OTC swaps books drive up systemic risk scores
Increase in trading and available-for-sale securities bump systemic risk scores higher at BofA and JPM
Citi, Wells Fargo face higher stress capital buffer add-ons
Both G-Sibs are outliers, as Fed slaps on higher capital requirements following latest round of stress tests
Banks’ DFAST performances even out
Analysis shows a more nuanced distribution of post-stress results
Fed stress test: JP Morgan would bear brunt of losses
Dealer’s giant loan portfolio hit the hardest among 23 participating banks
Fed stress tests stretch Goldman Sachs, HSBC
US dealers toe binding minimums in latest DFAST exercise
Assets under custody creep up at BNY, JP and State Street
Across the eight US systemically important banks, custody assets rose 27% year on year
JP Morgan, BofA face higher G-Sib surcharges
Both banks could face an extra 50 basis points of capital add-on without remedial action
At TD and RBC, higher deposits weigh on LCR
Higher net cash outflows in Q2 keep liquidity coverage pressures up
LCR rises for EU banks in Q1, but liquidity strategies diverge
Eurozone banks are still hoarding liquidity, but as vaccines take effect a rethink may be needed
Notionals for rates ETDs rise 26% in Q1
Confidence in rate hikes is on the rise, but the jury’s out on how fast
Rush to meet net-zero target could see Sonia, SOFR collapse
Policy inaction could halt benchmarks’ normalisation, BoE biennial exploratory scenario finds
Credit risk exposures shrink share of top UK banks’ RWAs
Barclays reported the biggest drop, both on a quarterly and yearly basis
EU bail-in debt sales plummeted 47% in H2 2020
Effects of pandemic continue as MREL-compliant liabilities drop, SRB figures show
Deutsche leads eurozone banks on exempted exposures
German bank increased central bank reserves currently excluded from leverage ratio the most in Q1
Post-merger, Caixa’s credit RWAs jump 47%
In RWA terms, the newly created entity is now bigger than Commerzbank and Rabobank
Finma add-on inflates Credit Suisse’s credit RWAs
The Sfr5.8 billion additional capital buffer accounts for two-fifths of bank’s quarterly increase
US banks add $130bn in carve-out assets as SLR relief ends
JP Morgan led the top US banks in increasing their stock of US Treasuries and excess reserves
BoE relief waives record £718bn off UK banks’ leverage exposures
On average, the UK leverage ratio of the top five lenders stood 80bp points higher than the CCR iteration in Q1
RWA density rises at Citi, BNY Mellon and State Street
The eight US G-Sibs reported total assets of $14.2 trillion, up 5% quarter on quarter
Central clearing rates for CDSs hit record high
A volatile 2020 pushed more single- and multi-name contracts to central counterparties
Commonwealth Bank’s LCR dips 13% as liquidity buffer shrinks
The Australian bank reported liquidity assets of A$171 billion, down 6% from the previous quarter
OTC derivatives values surge 36% in 2020
Foreign exchange derivatives were largely responsible for the overall increase in fair values in the second half of last year
Commerzbank’s leverage ratio dips as balance sheet swells
German lender adds €37.2bn of leverage exposure in Q1