Trading book
RBC’s loan-underwriting VAR drops 59% as volumes dry up
Widening credit spreads had previously sent market risk on syndicated loans skyrocketing
Deutsche’s IRC peaks at record high during H1
€905m charge for trading book default and migration is largest among global dealers
US-regulated IHCs retrench from VAR limits
Largest daily trading losses in Q2 were on average 50% of forecast, down from 102% in Q1
Comerica’s VAR multiplier spikes following eight breaches in Q2
Worst one-day trading loss at Dallas-based company was six times as large as its forecast
Nine US banks could be caught by Fed’s revised market risk rule
Expansion of trading risk charges to banks above $100bn in assets would also affect firms with minimal trading activity
The strange effect of US clampdown on FRTB models
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
HSBC’s trading VAR hits 10-year high
Interest rate risk behind trading risk gauge peaked in H1
Banks begin tackling climate stress tests of trading books
Market risk professionals see major shortcomings in available scenarios
EU banks balk at new market risk models back test
EBA proposals introduce additional expected shortfall back test for market capital risk models under FRTB
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
Interest rate risk drives ING’s VAR to two-year high
Dutch lender’s trading risk indicator averaged €14 million in Q1
FRTB implementation: Spotlight 2023
The Fundamental Review of the Trading Book (FRTB) introduces significant technical and operational challenges for banks on the path to compliance.
Banks look back in anger as FRTB revives 1990s risk test
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
US banks’ VAR breaches up 2.5x in 2022
‘Hypothetical’ one-day losses exceeded VAR on 55 occasions, as losing trading days prevail
‘Hung’ leveraged loans push Barclays’ VAR to 10-year high
Trading risk gauge hit a peak of £73 million in Q4, £2 million shy of 2012 peak
SocGen’s VAR up 33% in Q4
Gap with French rival BNP Paribas shrinks to just €9 million, the least since mid-2020
Finma cools off UBS’s VAR model overhaul
Estimated $1.3bn RWA benefit temporarily offset by regulatory add-on
Goldman’s VAR drops 20% in Q4
Retreat led by commodities and interest rate risk
Rifts widen across EU banks’ trading results
Largest fair-value hits from HFT assets moved further from median in H1
US banks’ loss-to-VAR ratios fell in Q3
Largest daily trading losses were on average 84% of forecast, compared with 105% in Q2
RBI’s VAR gauges hit new record
Banking and trading book risk rose in Q3 amid shifts in risk factor mix
Vol pushed HSBC’s modelled market risk up 37% in Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
Citi leads US banks’ jump in rates VAR-based charges
In a volatile Q2, the bank saw requirements for interest rate positions rise more than 300%