Articles by Lorenzo Migliorato
How window-dressing distorts US repo markets
Banks crush their repo balances periodically to massage systemic indicators, with far-reaching consequences for borrowing rates
Morgan Stanley set for biggest reset under softened eSLR
Bank’s leverage utilisation to fall from over 90% to 64% under new buffer
BofA and ICBC lose, Deutsche wins in latest G-Sib audit
Latest assessment of systemic lenders brings capital relief to German giant
Record $95bn in equities sits with US banks as OTC margin
Stocks on par with US Treasuries in top dealers’ collateral trove
FICC takes record bite from MMF repo investments
Funds shift cash from the Fed’s ON RRP as cleared repos hit $1.11trn
Default risk overtakes credit spreads in Japan's first year under FRTB
Securitisation charges lift a bigger slice of banks’ market risk requirements
BNP, Deutsche, SocGen face steep RWAs surge under FRTB SA
Pro forma disclosures for output floor show 2.5–2.8x increases if banks used only standardised formulas – far above peers
US banks’ CRE lending hits record in H1 despite sector stress
Smaller lenders drive $32 billion increase ahead of new regional losses
Stifel tops US banks in CLO concentration
$6.5bn CLO book equals over 15% of assets – triple the next US bank
Hang Seng impaired loans surge past $7bn ahead of HSBC buyout
Residential mortgage impairments up 73% as CRE bad loans double
JP Morgan reverses HTM securities roll-off with $44bn transfer from AFS
Reclassification marks first HTM expansion since 2022 and may prompt peers to follow
EU banks’ incremental risk charges up 20% in H1 2025
Heightened trading flows and worsening credit outlooks leave dealers with more risk-heavy books
Crédit Ag’s risk footprint swells faster than EU peers
Relative analysis of systemic scores suggests sticky step-up in G-Sib surcharge