Commodity risk
US banks tighten grip on gold shorts
Open interest in Comex gold futures sold by banks up 54% between December and August
ANZ’s end-period VAR spikes to highest in a decade
Interest rate risk drives 53% surge; market risk up A$1.6bn
HSBC shifts part of US precious metal trades to UK
US subsidiary transfers all related market risk to headquarters
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
Goldman Sachs’ VAR averaged record $124m in Q2
Trading risk indicator surged past early pandemic readings
SCB’s CEO talks biofuels, food security and the growth of voluntary carbon markets
Kevin McGeeny, founder and chief executive of SCB Group, talks with Energy Risk about his firm’s performance in this year’s Commodity Rankings and the developments he’s keeping an eye on in the biofuels and carbon markets.
Commodities threaten pain for initial margins
Market volatility and spot-based Simm approach may drive large margin spikes in little-tested asset class
Clearing industry braces for volatility ‘super-cycle’
Green transition may fuel higher cash demands and more risk events, FCMs warn
JP Morgan leads US banks on surging VAR capital charges
Requirements connected to commodity positions jumped 426% in the first quarter
Energy Risk Commodity Rankings: banks and brokers battle extreme volatility
Winners of the 2022 Commodity Rankings needed new approaches to manage extreme price swings
Goldman’s VAR climbs to $98 million in Q1
Commodity and interest rate risk push average VAR to its highest reading since 2020
Derivatives exposures up 26% at BP
Oil giant posts fourth consecutive yearly increase in 2021
Shell derivatives exposure rose by $15bn in 2021
Over 93% of the oil giant’s derivatives instruments were designated as current
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
Rabobank’s market risk charges jump 54% in H1
Increases in commodity and FX risk push up SA RWAs
JP Morgan’s fixed income VAR dives 69%
Average trading VAR down 59% over the previous quarter
Managing commodity risk in turbulent times
Faced with today’s razor-thin margins, firms must be able to monitor all risks holistically, in real time and to hedge effectively. This brings technological challenges, and many firms are now grappling with issues such as getting the right datasets,…
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
Interest rate, credit risk push BNP Paribas’ VAR up 25%
French bank also reported a VAR breach in Q3
At CIBC, commodity, forex and rate risks raise VAR 12%
Market risk capital requirement jumps to C$695 million on value-at-risk surge
BNPP’s VAR sinks on prop trading exit, calmer markets
Risk of loss down 17% quarter-on-quarter