Trading book
Goldman Sachs doubled FX trading revenues in 2024
Bumper Q4 powers bank to head of US dealer pack by foreign exchange revenue
Trading desks want regulators to face down the NMRF monster
Rule-makers in Australia and the European Union are open to changes to the unpopular FRTB test
UniCredit tops Europe’s VAR breach leaderboard in 2024
Swedbank, Commerzbank and SocGen among model users repeatedly blindsided by volatility
UBS takes standardised approach for FRTB – for now
Swiss bank is one of the largest to drop internal models; sources say it could switch later
Tug of law: EC’s FRTB compromise plan can’t please everyone
Leaked draft consultation unlikely to reconcile the global versus regional bank divide
Delving into the European Commission’s proposed overhaul of FRTB
Raft of potential changes would benefit both IMA and SA banks – but only temporarily
US dealers tally most VAR breaches since mid-2023
Market turmoil in Q4 blindsides models at systemic and regional banks alike
French banks’ equity VAR surges to multi-year highs
Volatility pushes fourth quarter readings at BNP Paribas, Crédit Agricole and SocGen to levels unseen in recent years
Value-at-risk models face neglect due to FRTB uncertainty
Some banks delaying material upgrades until timeline to replace VAR becomes clearer
JP Morgan logs two VAR breaches as trading revenue slumps
Largest trading loss in Q4 reached 262% of the bank’s VAR limit, matching a breach reported at the height of the Covid-19 pandemic
EU banks show basic instinct for credit valuation adjustments
Simpler approach to CVA appeals even to some already using more complex models for counterparty risk
During Trump turbulence, value-at-risk may go pop
Trading risk models have been trained in quiet markets, and volatility is now looming
Stuck in the middle with EU: dealers clash over FRTB timing
Largest banks want Commission to delay implementation, but it’s not the legislator’s only option
European Commission in ‘listening mode’ on potential FRTB changes
Delay or relief measures on the table after UK postpones start of Basel III to 2027
Australian FRTB projects slow down amid scheduling uncertainty
Market risk experts think Apra might soften NMRF regime to spur internal model adoption
Default and credit spread risks drive Canadian banks’ FRTB charges
New Basel III disclosures give first glimpse into market risk mix after internal models retirement
Deutsche’s IRC tops €8 billion in four-year high
Ballooning credit-event risk charge contrasts with Q3 drop at BNP Paribas, ING
Norinchukin’s market RWAs blow up 342% in Q3
Fierce increase under FRTB regime lops 117bp off bank’s CET1 ratio
UBS logs three VAR breaches on legacy Credit Suisse positions
Bank risks higher capital charges amid market volatility and exit-related costs
Fourteen US banks poised to benefit from curtailed market risk rule
Fed’s changes to Basel III endgame proposal would keep regional banks with limited trading activity exempt from costly FRTB requirements
EU banks lose relief on model test after FRTB delay
Deferment of new trading book regime to January 2026 eats into transition period for “erratic” P&L attribution test