Trading book
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The current market risk framework refuses to be superseded.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
EU edges closer to calming FRTB fund-linked fray
Dealers say temporary solution is a step in the right direction but won’t fully resolve all issues
JP Morgan’s equity and commodity VAR soar to five-year highs
Trading risk gauges jump 150% and 190% amid Q1 trading flurry
European Commission changes tune on proposed FRTB multiplier
Banks fear departure from original diversification factor undermines case for permanent relief
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