Trading book
EU’s FRTB multiplier risks picking winners and losers
Attempts to find capital-neutral way to implement new rules might create unlevel playing field
Vendor spotlight: Credit risk management solutions, 2025
Credit risk and portfolio management across the trading and banking books
European banks swell stocks of complex instruments
Derivatives and hard-to-value holdings rose across the bloc in 2024
Tariffs turmoil propels Deutsche’s SVAR to record €490m
Stressed risk gauge surpasses prior high by €25 million
How to solve the Fed’s $300bn FRTB problem
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
US banks notch most VAR overshoots since pandemic
Dealers’ gauges underestimated trading inventory price swings on 34 occasions during Q2
Nomura wins NMRF reprieve from Japan’s FSA
Relief granted due to scarcity of vendors offering pricing data for market risk models
Nomura’s FRTB models reap 33% saving on debut
Trading desks cleared for new IMA’s use win ¥225 billion relief on end-March capital requirements
Double VAR breach in Q2 adds $4.1bn to JP Morgan’s market RWAs
Sixth regulatory backtesting exception in nine months lifts the multiplier above minimum for the first time since Q3 2022
Will the UK’s FRTB time warp turn into a horror show?
UK regulator’s proposed transition year in 2027 could double banks’ implementation work
SEB’s market risk add-on swells 153% in Q2
Temporary adjustment more than doubles as internal model change awaits sign-off
European Commission already preparing next FRTB move
As EC runs out powers to delay rules again, proposal for temporary capital relief is on the agenda
Bank of England floats ‘quasi-IMA’ in FRTB standardised method
Dealers welcome new route to capitalising residual risk, but it could fragment global ruleset
UniCredit’s market RWAs would inflate 75% under FRTB
Pro forma figures for capital floor give first look at de-modelling impact on a major EU dealer
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
The IMA map: charting market risk capital under Basel 2.5
The current market risk framework refuses to be superseded. Risk.net dissects banks’ disclosures to explore how trading book capital requirements have evolved
US banks held $2.2trn of USTs on eve of tariff turmoil
AFS holdings hit record $1.04 trillion days before Trump’s tariff announcement pushed Treasury yields higher
JP Morgan’s equity VAR hit GFC levels in March
Bank blames now-matured client position for temporary risk surge
Wells Fargo’s commodity book hits record size after 36% surge
Notional growth far outpaces Wall Street heavyweights
JP Morgan’s VAR limits blown twice during haywire Q1
Breaches add to the two regulatory backtesting exceptions sustained the previous quarter
Goldman Sachs doubled FX trading revenues in 2024
Bumper Q4 powers bank to head of US dealer pack by foreign exchange revenue