Articles by Lorenzo Migliorato
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
BNP Paribas poised for fresh G-Sib score cut via intra-EU waiver
Carve-out facing US pushback compressed bank’s cross-border footprint 51% in 2024
European banks swell stocks of complex instruments
Derivatives and hard-to-value holdings rose across the bloc in 2024
UniCredit’s VAR cools as Commerz swaps convert to shares
Average reading down by over a third after Italian bank settles part of its stake in the German lender
US banks tighten grip on gold shorts
Open interest in Comex gold futures sold by banks up 54% between December and August
DFAST monoculture is its own test
Drop in frequency and scope of stress test disclosures makes it hard to monitor bank mimicry of Fed models
EU banks’ systemic indicators soared to record highs in 2024
Trading activity drives surge across 29 banks
DFAST fashion: emerging trends from 12 years of US stress tests
The banks that breach buffers, the assets that perform best under stress, and other insights from Dodd-Frank Act stress-testing exercises
UniCredit shed €976bn of OTC derivatives notionals in 2024
Italian bank posts sole decline among EU peers through trade compression
US CDS clearing drops to 11-month low in August
Retreat from CCPs tied to jump in uncleared contracts for peripheral geographies