Articles by Lorenzo Migliorato
Sterling interest rate ETDs plummet 28% in Q2
Investors cut open interest in futures and options contracts as crises piled up
Europe’s regulators play ‘time the downturn’ with CCyB
Indicators justify hikes in countercyclical capital buffer, but shock-driven recession looms large
Euro banks’ funding plans lag TLTRO repayments – EBA
Survey on funding plans shows banks don’t plan to replace ECB lines just yet
Basel III output floor set to bind 24% of banks
Latest BCBS monitoring report shows four-fold increase over next seven years
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
Client margin at Credit Suisse shrinks to just $25m
Required funds for swaps meet same fate as F&O trades, as exit from prime services continues
EU dealers’ IRC charges surge on debt market jitters
Santander and Natixis among hardest hit, with charges up 117% over first six months of the year
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
Europe’s countercyclical buffers buck recession trends
Almost half of EBU’s members have set out CCyB hikes; five plan two or more before mid-2023
BNY Mellon, Schwab would benefit most from SLR relief
A repeat of the pandemic carve-out would boost average ratio across US banks by 45bp
EU banks add overlays as crises evade modelling
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
TLAC rules no sweat for US regionals
Capital One and US Bancorp best placed to fund their balance sheets with long-term debt
EU banks’ leverage ratios slip as ECB relief ends
Lenders still carving out central bank balances in March saw ratios drop 60bp on average
At some Chinese banks, NPL growth outpaces allowances
Bank of Beijing, Bank of China, China Merchants Bank and Industrial Bank see bad loans climb faster than set-asides
XVAs boost Helaba trading income but inflate hedging costs
Expense from non-trading hedges reaches highest since at least 2016
China’s ABC, BoC buck H1 trend and cut market risk
Market risk charges keep rising at CCB, ICBC and all non-systemic banks
BMO takes C$983m loss on Bank of the West merger hedges
Temporary inversion of yield curve hit swaps safeguarding target’s fair value
BoComm’s CET1 ratio drops to lowest since 2013
RWAs jumped 8% in the first half, dragging capital adequacy down 63bp
Citi leads US banks’ jump in rates VAR-based charges
In a volatile Q2, the bank saw requirements for interest rate positions rise more than 300%
RBC takes $296m hit on underwritten syndicated loans
The latest markdowns were higher than at the outbreak of the pandemic
China Merchants’ real estate NPLs double in H1
Some 3% of property development loans were non-performing, double the end-2021 level
ING’s market RWAs jump 30% as FX positions breach waiver limit
Increase arose from stricter EU rules under which FX exposures qualify as structural hedges
Morgan Stanley’s top-of-the-league TLAC rises further
The bank’s bail-in RWA buffer, already the highest among US peers, rose five percentage points in Q2
Net-zero pledges bring big unknown for credit risk
Uncertainty on how governments plan to curb emissions adds political dimension to credit quality assessments