Trading book
Systemic US banks’ trading portfolios swell 10% in 2019
US Treasuries held-for-trading soar 28% on Q4 2018
UK bank market RWAs ebbed in 2019
HSBC shed $5.9 billion of market RWAs in 2019
Rates trading revenues up 154% at top US banks
Net gains on interest rates-related exposures top $21 billion
Top banks’ US Treasury holdings up 26% in 2019
Fair value gains follow plummeting yields on government paper
TD Bank’s US unit incurred eight VAR breaches in 2019
Number of backtesting exceptions pushed the bank’s VAR capital multiplier to 3.75
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Fewer losing trading days at top US banks in 2019
State Street posted most losing days in 2019, with 146
BNP buys Deutsche’s delta one assets in latest CRU auction
French dealer lodges winning bid after missing out on flow equity portfolios last year
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
Trading’s share of EU bank income shrinks in Q3
French banks boasted highest share of income from trading, at 24%
EU banks pare back commodities risk
Risk-weighted assets for commodities trading positions under standardised approach fall almost 30%
SocGen leads EU banks on trading asset gains – EBA
Almost three-quarters of H1 2019 income came from gains on trading assets at French bank
At UK stress test banks, loan-loss estimates up £8bn in 2019
Impairments estimated to cut 5.7% off of the banks’ aggregate CET1 capital ratio
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Upgrade to derivatives system dents trading revenue at TD
Real-time mark-to-market of portfolio should cut trading revenue volatility in future
Final Volcker rule spurs rethink on FRTB trading desks
Regulators encourage structural alignment between the two rules, but hurdles remain
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Over four years, US G-Sibs slash securitisation charges
Banks also have more exposures capitalised using sophisticated calculation approaches than in years prior
Goldman, State Street amass losing trading days in Q3
Tough market conditions also led to VAR breach at Goldman Sachs
FRTB costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
Trading revenues top $1bn at Wells Fargo in Q3
Net gains on trading activities up 75% on Q3 2018
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
How banks rode out the EU stress tests’ market shock in 2018
During the last round of tests, projected trading portfolio losses sapped 89 basis points off EU banks’ aggregate CET1 ratio