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
Nomura nets ¥3.8 billion from CVA and DVA gains
Windfall offsets previous quarter’s loss more than three times over
Offshore hedging of foreign banks’ China claims at record low in Q2
Just 6% of claims on the country were hedged through offshore risk transfers at end-June, BIS data shows
Santander’s VAR surges 17% in Q3
Macroeconomic jitters push credit spread and interest rate risk up, but bank’s traders net income windfall
Finma hits UBS with $7bn add-ons
Bank’s prime brokerage unit and VAR model targeted by the Swiss regulator
HSBC faces capital headwinds as regulatory changes kick in
Bank expects its CET1 capital ratio to fall 100–120bp through 2022, with regulation taking the heaviest toll
Liquidity valuation adjustment costs JPM $235m
Tweak to derivatives book weighs on the bank’s fixed income revenues
Barclays’ risk pare-back sees market RWAs fall £3bn
The majority of market risk is now assessed under the regulator-set standardised approach
EU banks’ derivatives exposures jumped 36% in H1
Top banks added €235bn since December, amid switch to SA-CCR and a new leverage ratio template
Regulatory feedback adds $23bn to Goldman’s RWAs
The revision to the bank's standardised RWAs brought it closer to hit the so-called Collins floor
Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio
The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn
JP Morgan’s VAR falls to lowest since 2018
Gauge of trading risk drops 20% quarter on quarter, driven by commodities and equity desks
IMA to retain large role in setting market risk capital post-FRTB
Gyrations over 2020 mean a bigger share of market risk requirements could be underpinned by internal models post-reform
Basel III heralds 41% op risk jump for EU banks
Capital requirements set to rise almost 88% for those G-Sibs that don’t currently use the AMA
Climate risk: the writing is on the wall
For the EU financial sector, climate risk is inescapable, but it could be tamed
Basel III output floor set to bind 25% of large banks
Risk-based capital requirements would constrain the largest share of international lenders
European banks set for 17.6% capital hike under Basel III
Output floor expected to push Tier 1 capital requirements up 7.3% alone, latest BCBS monitoring report shows
Default risk set to rise from climate inaction – ECB
‘Hothouse world’ scenario could see average probability of default increase significantly more than under both orderly or belated transition
Interest rate ETD volumes up 40% from 2020 nadir
Shorter-dated contracts push total open interest higher
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
Majority of US G-Sibs’ assets attract sub-100% risk-weighting
Risk Quantum analysis shows top US banks retrenched to lower-risk assets through the pandemic
EU banks eye debt issuance as central bank funding winds down
The projected increase would not be sufficient to replace TLTROs maturing in 2023, EBA report finds
State Street to become world’s largest custodian
Brown Brothers Harriman Investor Services acquisition means Boston-based bank will leapfrog BNY Mellon and JP Morgan
Deutsche sees equity RWAs jump 29% on new EU rules
CRR II requires banks to calculate exposure they would incur to honour guaranteed returns on investment products