Market risk
JP Morgan incurs eight VAR breaches, triggering capital hike
Largest trading loss in Q4 reached 207% of the bank’s VAR limit
EU banks fear outlier status on non-modellable risk charges
Dealers face disadvantage if EU implements more granular and costly version of FRTB than US, UK
SocGen cut trading VAR by a third in Q4
Trading risk gauge shrinks to lowest in 17 years
The Collins flaw: backstop turned binding constraint
US legislative tweak was meant to prevent banks from using their own capital models too liberally. It’s now something different
Netting challenges push ING’s market RWAs up 64%
A regulatory issue left the bank unable to consolidate cross-border positions in Q4
Apra’s overlay pushes CBA’s market RWAs up 30%
Market risk is at the highest level since Q4 2020
Nordea’s trading VAR keeps climbing amid rate hike jitters
Trading risk gauge surged 17% through Q4
ING’s interest rate VAR spiked in Q4
Potential-loss indicator for rates trading peaked at €20 million
UBS incurred a VAR breach in Q4
The latest larger-than-expected loss – the fourth in 2021 – leaves the bank one step closer to higher capital requirements
All top US banks below Collins floor
None of the eight systemic banks in the country above the threshold for the first time since 2015
Leveraging data in e-FX trading
A white paper explaining how, in a world where electronic trading has infiltrated virtually every aspect of today’s FX market, having access to data and the means to interpret it are fundamental components of a successful e-FX strategy
To cloud or not to cloud: factors influencing decision-making at banks
In a new research report, Audrey Costabile Blater of Aite-Novarica’s Capital Markets team shares notable findings from her one-on-one interviews with key stakeholders across the financial services sector uncovering what’s driving – or holding back –…
Bank of America’s VAR drops 19% in Q4
Average one-day trading VAR falls to lowest point since Q1 2020
SA extends reach over EU banks’ market and op risk
Regulator-devised models have been capturing a bigger chunk of RWAs through the pandemic
Institutional ETF trading: innovation, efficiency and versatility fuel growth
Despite a 30-year history, exchange-traded fund (ETF) adoption still felt new and nascent in many parts of the world when this survey was first conducted in 2017. Today, ETFs are widely accepted as important tools and usage has greatly expanded among…
EU offers reprieve for fund-linked derivatives trades
Banks hope FRTB draft allowing fund managers to supply standardised inputs will cut risk weights
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
US unit of TD Group close to a VAR breach in Q3
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
New FRTB timeline makes Europe’s reporting phase ‘obsolete’
European Commission pencils in capital requirements to start at the same time as reporting exercise – or even before
Wells Fargo records highest number of loss-making days in six years
On average, the eight top US banks reported 29 loss-making days in Q3
Bank of America, BNY Mellon incur VAR breaches
The second consecutive backtesting exception for the custodian bank brings it closer to a higher multiplier
Basel crypto rules: bad for traders, good for risk managers?
Practitioners divided over potential bank capital treatment for assets with no intrinsic value
Deutsche’s market RWAs hit 5-year low on VAR multiplier cut
Regulatory audit greenlit 0.5x cut in multiplier following bank’s overhaul of VAR approach
Hedge fund stake exit helps Credit Suisse cut VAR
Market risk-weighted assets at the AM unit drop almost 95% following the move