Trading book
Securities market frenzy drives up mid-sized European banks' systemic risk
Nordea’s underwriting activity jumped by almost 7,000% in 2020
EU stress tests: market risk cuts 107bp off average bank’s CET1
SocGen, Deutsche and UniCredit the hardest hit among EU systemic banks
EU stress tests: BNP Paribas would bear brunt of trading losses
Losses from held-for-trading balance sheet would wipe out fair value book gains
Isda disputes excessive FRTB charges for carbon trading
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
ECB tightens grip on back-to-back booking models
Supervisor could impose large exposures limit for intragroup trades, even if UK granted equivalence
Nomura understated VAR capital charges by 13% in H2 2020
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
ECB’s Trim found 900 flaws with 31 banks’ market risk models
Remedying shortcomings added €11 billion to market RWAs in aggregate
New licence forces rethink over Australian trading presence
Overhaul of regime will drive changes to booking models for trades with Australian clients
Euro banks’ trading activities pose lopsided risk to capital – ECB
Elevated downside risks to capital posed by net trading income
XVAs ate $401m of JP Morgan’s revenues in 2020
Credit valuation adjustment on derivatives cost $337 million alone
Profit-making trading days at systemic US banks soared in 2020
Citi had the most winning days of the G-Sibs in 2020, with 170
Credit Suisse updates VAR disclosure to cover banking book
Non-trading positions accounted for 31% of market risk exposure in Q3
BoE reassures foreign banks on post-Brexit booking models
EU banks that lost passporting rights after Brexit are unlikely to have to establish UK subsidiaries
How buy-to-hold accounting shuffle boosts US bank capital
Banks gamble shrinking AFS portfolios will bring down stress capital buffer, G-Sib surcharge
Basel FRTB capital impact study confused by outliers
“Conservative estimation” of market risk capital uplift averages 69%
Scotiabank’s capital ratio improves on fading market risks
VAR-based RWAs dropped 44% quarter on quarter
Isda study reveals size of Covid’s trading book capital hike
Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets
JP Morgan had most profit-making trading days of top banks in Q3
New York-based bank posted 45 winning trading days in total
At UniCredit, XVAs amped trading gains in Q3
Italian bank claimed a €110 million benefit to earnings from valuation adjustments
Top US dealers’ trading risk indicators varied in Q3
VAR drops sharply at JP Morgan and Goldman, stays steady at Morgan Stanley and rises at BofA
Factoring in Covid turmoil amped Bank of America's VAR in Q3
Value-at-risk averaged $109 million over three months to end-September
Seeking capital savings, JP Morgan shifts assets to holding pen
Transfer of assets to HTM portfolio could reduce stress capital buffer in future
Fix to Fed stress test snafu lowers two banks’ capital charges
Goldman, Morgan Stanley see stress capital buffer cuts
Tougher OTC trading conditions to persist, say European banks
Seventy-three per cent of respondents expect tight price and non-price terms through September