Articles by Lorenzo Migliorato
Tariffs turmoil propels Deutsche’s SVAR to record €490m
Stressed risk gauge surpasses prior high by €25 million
Nomura’s ES requirement swings 75% in turbulent debut
New gauge for modelling interest rate desks’ charges ranged from ¥23bn to ¥41bn over the course of Q1
US banks notch most VAR overshoots since pandemic
Dealers’ gauges underestimated trading inventory price swings on 34 occasions during Q2
Nomura’s FRTB models reap 33% saving on debut
Trading desks cleared for new IMA’s use win ¥225 billion relief on end-March capital requirements
Double VAR breach in Q2 adds $4.1bn to JP Morgan’s market RWAs
Sixth regulatory backtesting exception in nine months lifts the multiplier above minimum for the first time since Q3 2022
US CRE provisions surge at Deutsche after model recalibration
Stage 2 loans drive provision hike after LGD assumptions updated
SEB’s market risk add-on swells 153% in Q2
Temporary adjustment more than doubles as internal model change awaits sign-off
Danske shrinks CVA capital charges 44% after hedge revamp
Credit protection buying spree helps cut capital requirements to lowest level since 2014
Market shocks push IRC to records at EU banks
Component for default and migration risk hits new highs at several dealers
BoE revision may ease MREL load for UK challenger banks
Monzo, Starling, Metro posed to benefit from long-awaited asset threshold hike
JPM’s reserves on undrawn loans rise 32% as Trump tariffs loom
Allowance on commitments nears $3bn as bank braces for stress among corporate borrowers
Collateral cushions swell as US hedge fund borrowing tops $5.6trn
Top 10 funds’ borrowing becomes 3.7% over-collateralised amid record Q1 leverage