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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
UBS incurred a VAR breach in Q4
The latest larger-than-expected loss – the fourth in 2021 – leaves the bank one step closer to higher capital requirements
Foreign banks flocked to Treasuries and Fed in Q3
Claims rose at fastest annual pace since early pandemic amid inflation jitters
Led by BofA, US banks doubled distributions in 2021
Stock buybacks and dividends hit $117.7 billion last year
Morgan Stanley curbs SA-CCR impact on core ratio
Impact of early implementation far below original estimates thanks to mitigatory action
Bank of America’s VAR drops 19% in Q4
Average one-day trading VAR falls to lowest point since Q1 2020
SA-CCR switch pushes Goldman below Collins floor
Early adoption at the end of 2021 adds $15 billion of RWAs
Citi bolstered CET1 ratio on eve of SA-CCR switch
Standardised RWAs dropped 5% in Q4, boosting the bank’s core ratio by 55bp
Some EU banks keep underprovisioning for ECLs
Divergences between accounting and regulatory markdowns remains high at some top lenders
BoE stress tests: Lloyds just 10bp above minimum CET1 ratio
Bank’s simulated core ratio was just 10bp above requirements at the worst point of a severe recession
Spanish regional bank’s CVA charge up 30-fold on SA-CCR
Banco de Crédito Cooperativo saw end-June charges balloon the most year-on-year across a sample of 120 European banks
SA-CCR halts Citi’s buybacks plan
Bank will pause stock buybacks until new year to mitigate new methodology impact and create extra capital headroom
EU banks with thinnest buffers tap heftiest IFRS 9 capital add-backs
EBA data shows lenders whose capital benefitted most from transitional loan-loss relief also have skinniest CET1 capital ratios
SA extends reach over EU banks’ market and op risk
Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic
Deutsche’s market RWAs hit 5-year low on VAR multiplier cut
Regulatory audit greenlit 0.5x cut in multiplier following bank’s overhaul of VAR approach
Hedge fund stake exit helps Credit Suisse cut VAR
Market risk-weighted assets at the AM unit drop almost 95% following the move
EU’s Basel III delay invites all to play for time
The message not to dilute reforms got lost on the way from Frankfurt to Brussels
Nine in 10 EU banks reported flawed prudential data in Q2
Weeks after the quarter’s end, the ECB was still awaiting explanation on vast majority of data points flagged
Credit Suisse set for op RWA hike as litigation charges pile on
Sfr1bn increase expected to accrue over the next six months
Internal risk floors add $7.1bn to Westpac’s retail RWAs
Bank braces for tighter capital rules and roll-off of Covid measures
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