Articles by Lorenzo Migliorato
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
PacWest, Banc of California aim to slash emergency borrowings
Post-merger, the new regional lender could see wholesale funding fall from $16.2bn to $2.9bn
Deposit repricing shifts Zions’ IRR outlook
The bank reckons high pass-through of Fed hikes means its rate-shock exposure is lower than under standard modelling
Eight US banks slapped with higher capital buffers
US units of Deutsche and UBS hit with highest SCBs yet imposed by the Fed
MCB’s interest rate risk widens as funding turns costlier
Rotation into remunerated deposits and short-term borrowing raises liabilities’ sensitivity
Derivatives valuation swings lop $2.4bn off BofA’s income in Q2
DVAs and markdowns on fair-value hedges return to drag on dealer’s revenue
Free deposits keep fleeing US regional heavyweights
Drop in non-interest-bearing balances at Capital One, PNC Bank, Truist and US Bancorp accelerates in Q2
The AOCI elephant in the DFAST room
After March’s banking crisis, Fed stress tests should adopt harsher and wider ranging rate scenarios
Western Alliance cuts back on emergency funding
As deposits return, regional lender repays FHLB advances and other costly funding
BofA cut $89 billion of AFS securities in H1
Pivot away from fair-value bond investments most sweeping among large US banks
US banks’ stress-test projections stray further from Fed’s in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
Five US banks would breach CET1 buffers on AFS loss reinclusion
Fed’s vice-chair proposal to scrap AOCI waiver would cripple KeyCorp the most
Norinchukin’s credit RWAs up 31% on early Basel III opt-in
Bank’s standardised charges surge 19-fold following overhaul of models’ scope and parameters
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
US G-Sibs’ OTC derivatives hit record $243 trillion
JP Morgan leads US dealers in boosting notional amounts during volatile first quarter
In DFAST, banks clear 4.5% minimum but breach all-in buffers
Forty-three percent of participants would have seen capital plans rejected under pre-2020 CCAR regime, up from 30% last year
BNP Paribas, SocGen brace for more hits from TLTRO hedge unwinds
Duo expect combined €600m in losses after already booking €500m in first quarter
US Bancorp, Citizens head for tighter ‘tailored’ standards
Banks on track for stricter capital and liquidity rules, while tiered US standards come under scrutiny
Systemic risk scores climb at largest US regionals
Funding indicators inflate systemic footprint of Capital One, KeyCorp, US Bancorp and Truist in Q1
Trading volume surged at ABN Amro and BNPP in 2022
Banks’ role in secondary market intermediation continues to grow as Deutsche retreats, G-Sib indicators show
Goldman on course for 3.5% G-Sib surcharge
Bank faces 50bp of extra capital add-on from 2025 in the absence of risk score reduction by year-end