Articles by Lorenzo Migliorato
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
Foreign dealers still lag US banks in stress tests
IHCs’ CET1 depletion triples that of domestic participants, despite improved performance since 2024 exercise
UniCredit’s market RWAs would inflate 75% under FRTB
Pro forma figures for capital floor give first look at de-modelling impact on a major EU dealer
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
US banks’ VAR shortfalls are wrapped in a black box
Public disclosures only allow crude approximations of loss size and timing
JP Morgan’s loan losses loom ever-larger in Fed stress test
$90 billion in projected markdowns accounts for almost a fifth of total across 22 banks