  It is a well-established fact in the scientific literature that Picard
iterations of backward stochastic differential equations with globally
Lipschitz continuous nonlinearity converge at least exponentially fast to the
solution. In this paper we prove that this convergence is in fact at least
square-root factorially fast. We show for one example that no higher
convergence speed is possible in general. Moreover, if the nonlinearity is
$z$-independent, then the convergence is even factorially fast. Thus we reveal
a phase transition in the speed of convergence of Picard iterations of backward
stochastic differential equations.
