Trading book
UK Treasury never analysed impact of risk weights for EU debt
Risk weight move seen as political threat to EU sovereign issuance to force Brexit equivalence deal
US banks see fewer daily trading losses than foreign units
IHCs suffered losses on 54% of trading days compared with 44% for US BHCs
CVA gain bolsters JP Morgan trading revenues
$302 million of first half trading revenues attributed to credit valuation adjustment
StanChart culls debt, switches model, and market RWAs drop
Structured product RWAs now calculated using internal model, saving $1.1 billion
Trading risk plummets at BAML as portfolio grows
Trading VAR falls to $30 million from $40 million in Q1
Stress-test trading losses out of sync with banks’ market risk
Trading and counterparty losses triple those implied by banks’ market RWAs
FRTB: trade bodies reveal threat to risk factor modellability
Swaptions, sovereign CDS and long-dated swaps at risk of being NMRFs
FRTB: Nordic banks mull regional data pool
Local tie-up could “prevent big banks entering the markets in the Nordics”, says local risk manager
US will implement FRTB, insists Fed official
Isda AGM: “I don’t know why people doubt” US adoption, says Lynch
Basel’s Coen warns on FRTB complexity
Isda AGM: Regulators may consider “simpler and more robust” approaches when finalising rules this year
EU shelves limits on structural FX hedge exemptions
Basel rethink on FRTB capital ratio hedging prompts fresh questions over EU implementation
FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
EU regulators urged to give guarantees on Brexit transition
UK banks and insurers want legal protection in case a political deal breaks down
FRTB: Delivering on the promise of data-driven insights
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RBS loses markets CRO
Brush set to launch new venture; RBS’s group CRO also on way out
Basel delay does not ensure global FRTB consistency
A European Parliament draft would let supervisors decide response to P&L attribution test fails
Dealers warn of FRTB impact on funding programmes
EMTNs issued by treasury functions may need to be moved to trading desk because of new market risk rules
Mifid’s great race to the bottom
If rules are unclear, regulators cannot prevent banks adopting the softest interpretations
London-based banks face ECB Brexit power grab
Drive to supervise swaps books from Frankfurt threatens cross-border balance sheet management
FRTB could hit syndicated loans, banks fear
Accounting classification would lump assets into regulatory trading book
Basel group said to weigh changes to key FRTB test
EC and EBA officials criticise low pass rates for P&L attribution test
Q&A: EBA’s Vaillant on Basel IV, FRTB and CVA
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework
EBA plans reboot of FRTB’s P&L test
Authority will explore wider range of options than outlined in CRR text