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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
Initial margin held by top CCPs declined over Q2
Cash collateral held at central banks down 23% across top CCPs
Souring loans piled up at EU banks in Q2
Share of loans that have declined in creditworthiness made up 8.2% of lenders’ totals
Which EU banks hold the most loans subject to Covid relief?
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
Systemic US banks crushed cleared OTC notionals in Q2
Outstanding amounts fall 12% quarter-on-quarter
Covid credit outlooks for UK banks vary
Standard Chartered and HSBC have worst downside outlooks relative to their own base cases
Rates and FX exchange-traded derivatives markets cooled in Q2
Interest rate options and futures turnover halved over three months to end-June
Change to risk-weight floor amps EU banks’ securitisation RWAs
BNP Paribas’ banking book securitisation RWAs increased 32% on end-2019
Barclays led UK banks in growing CDS book through Covid shock
Dealer saw credit derivatives notionals balloon £58.1 billion over the first half
Tougher OTC trading conditions to persist, say European banks
Seventy-three per cent of respondents expect tight price and non-price terms through September
Barclays led European banks on derivatives notionals in 2019
Deutsche Bank cut notionals 10% last year
Eurozone hedge funds put cash to work in Q2
Deposit and loan claims made up 20% of total assets in Q1
Eurozone funds charged into overseas debt in Q2
Net purchases almost reversed the first quarter’s fire sale
Virus volatility swelled CVA charges at Barclays, NatWest in H1
PRA capital relief for market risk eased the CVA burden at some lenders
ABN Amro crushes CVA charge with index hedges in H1
Risk-weighted assets for CVA drops 48% in six months to end-June
Berkshire Hathaway’s put option liabilities climb
Fair value liability climbed to $1.6 billion at end-June
CRR ‘quick fix’ pushes UniCredit’s RWAs lower
Italian bank nets €2.4 billion of RWA relief from regulatory changes
Commerzbank takes €111m of XVA losses in H1
Valuation adjustment benefits gained in Q2 did not offset huge Q1 losses