
Lorenzo Migliorato
Lorenzo is a data journalist based in London. He has previously covered consumer credit, financial regulation, equities and the high-yield markets. He graduated in philosophy at Sapienza University of Rome and in journalism at Cardiff University.
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Articles by Lorenzo Migliorato
EBA’s correlated currencies shake-up raises EU banks’ charges
Capital requirements for FX risk double after EUR/USD and other 196 pairs deemed no longer in sync
US banks’ non-core funding dependence ratio jumped in 2023
BHCs’ aggregate figure almost doubled to post-pandemic high last year
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
Smaller US banks hold over half of CRE loans
Lenders under $50bn in assets reported record $1.7 trillion of exposures at end-2023
US systemic banks increase reliance on short-term funding in 2023
Contentious STWF metric weighs heavily on Morgan Stanley and Goldman G-Sib scores
As US MMF assets hit new records, so does manager concentration
Fidelity, JP Morgan and Vanguard commanded 40% of holdings as of February
US banks’ IRRBB transparency: one step forward, two steps back
A year on from the 2023 crisis, more lenders monitor EVE sensitivity, but full Basel-like disclosures remain the exception
Japanese banks’ leverage ratios keep rising as BoJ relief becomes permanent
Norinchukin reaps largest benefit on eve of Covid-19-era exemption being made permanent
CBA’s SFT exposures balloon 50% during H2 2023
Surge in repos and similar transactions puts lender only behind NAB among Aussie dealers
BofA, Citi, JPM slash $18trn of derivatives in latest window dressing effort
Systemic indicator reduction in Q4 keeps lid on trio’s capital surcharges
US FCMs’ residual interest buffers hit record low in December
A decade on from CFTC rules on residual interest target, firms’ segregated cash has not kept pace with client funds
Six US G-Sibs face higher surcharges under Fed’s proposals
Goldman and BNY Mellon only top banks to escape increase, analysis shows
Goldman faces higher 3.5% G-Sib surcharge in 2026
50bp step up in capital add-on looms after dealer’s systemic footprint rose to a record high in 2023
Canada’s top dealers boost derivatives clearing as FRTB kicks in
BMO, RBC and TD Bank cleared record C$45.1 trillion in notionals in Q1
US FCMs far apart on target residual interest levels
Dealers diverge widely in how much capital they deem necessary to cover customer fund shortfalls
Credit Suisse USA rounds 2023 with fifth VAR breach
Wall Street unit’s capital multiplier ratchets back up to 3.4x
Five US banks hit record leverage exposures
Ballooning balance sheets leave Goldman, Morgan Stanley with razor-thin SLR buffers
Citi, JP Morgan incurred record VAR overshoots in Q4
Peak single-day losses rank among worst for US banks post-pandemic
First Citizens’ high-volatility CRE loans doubled last year
Rise in 150%-weighted class of exposures largest among 260 US lenders
Goldman, JPM gain ground in FCM race for swaps
Duo boosted share of required customer funds at the expense of Citi and Morgan Stanley in 2023
Treasuries coupon pile-up inflates Nomura’s foreign sovereign assets
Standardised exposures to overseas governments see tenfold increase despite ebbing IR VAR
Rabobank cuts back on ECL overlays
Improved backtesting performance reduces add-ons to allowances to lowest in five years
At some US regionals, CRE loans eclipse tangible equity by up to 7x
Valley National, NYCB and First Foundation the most levered in a sample of 30 banks
TLTRO hedge unwinding bill tops €1.2bn at BNPP, SocGen
Exit from swaps tripped up by ECB’s tightening marred banks’ 2023 throughout