Over four years, US banks blitz correlation trading risks

US banks have almost eliminated capital charges attached to correlation trading positions over the last four years.

Five of the largest dealers – JP Morgan, Citigroup, Bank of America, Morgan Stanley, and Goldman Sachs – have reduced capital requirements set by the standardised comprehensive risk measures (CRM) by between 75% and 94% since Q1 2015.

The CRM charge is intended to capture risks linked to correlation trading portfolios, including credit default swap (CDS) index tranches and

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