Articles by Lorenzo Migliorato
Deutsche misses G-Sib surcharge cut despite EU score benefit
Carve-out of intra-bloc exposure lowers score below 230bp, but 1.5% surcharge remains
Deutsche’s IRC tops €8 billion in four-year high
Ballooning credit-event risk charge contrasts with Q3 drop at BNP Paribas, ING
Fed’s stricter G-Sib scoring punishes BofA, Goldman
Duo’s method 2 capital requirements will diverge further from those entailed by Basel’s methodology
Nomura’s HQLAs hit record ¥7.1 trillion
Notes issuance, favourable yen boost easy-to-sell reserves
StanChart boosted OTC clearing rate by 11.7pp in 2023
Tilt contrasts with move away from CCP trades at Citi, Wells Fargo
Norinchukin’s market RWAs blow up 342% in Q3
Fierce increase under FRTB regime lops 117bp off bank’s CET1 ratio
Goldman’s unmatched sold credit protection up 15% in Q3
Written notionals not hedged by buying identical protection on riskiest names jumped 85%
Barclays dethrones JP Morgan as largest OTC derivatives dealer
UK bank’s notionals surged 12.6% to $49 trillion in 2023, G-Sib indicators show
IRB reliance peaks at over 90% for some lenders ahead of Basel III shift
As reforms loom, IRB usage spans from marginal to near-total among European banks
Crédit Agricole headed for 1.5% G-Sib surcharge in 2026
French bank’s surging G-Sib score puts it past Deutsche in latest systemic risk assessment
Morgan Stanley’s CVA capital charges surge 42% in Q3
Jump in simple approach output drives RWAs to highest since 2020
Mizuho faces steepest capital squeeze from Basel floor
Fully floored RWAs would cut core capital ratio by 244bp, the sharpest drop among Japanese megabanks