Market risk
Finma add-on drives UBS’s market RWAs to eight-year high
Swiss regulator adds $1.4bn to mitigate maturity mismatch risk within IRC
UBS logs three VAR breaches on legacy Credit Suisse positions
Bank risks higher capital charges amid market volatility and exit-related costs
Volatility drives up NatWest’s market RWAs despite IMA efficiencies
Higher VAR and SVAR readings overshadow £373 million saving from broader modelling scope
SVAR spike drives Deutsche’s market RWAs up 20%
Risk positions in the FIC division behind highest figure in over three years
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published
FDIC’s McKernan wants single capital stack in Basel III endgame
Rebuffing Barr’s offer of a partial rollback, Republican director also targets op risk framework
SVAR hits seven-year high at Crédit Agricole
Stressed trading-loss measure rose 14% on average in first six months of 2024
Integrating climate into market and credit risk frameworks: what’s next?
A webinar on climate risk, discussing how and why it needs to be integrated into short-term risk assessments
Ruled out: can regulators settle the pre-hedging debate?
Market participants are at odds over the practice and whether regulation or principles can settle the score
Running the numbers on Barr’s Basel III endgame revisions
Fed vice-chair’s plan to ease capital requirements for big banks still lacks critical details
Goldman appoints new financial risk head
Promotion sees Josh Schiffrin oversee strategy and financial risk, including trading supervision
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
Fed’s Basel III rollback gives clearing units a capital break
Client-cleared trades will be exempt from CVA charges and G-Sib surcharge calculations, says Barr
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
Some EU banks wanted option to start FRTB on time
Representatives of member states raised possibility with European Commission at July meeting discussing the delay
Nomura’s market risk jumps ¥800bn in Q2
Yen depreciation and rising default risk drive RWAs to record high
RBI’s VAR spikes on FX fluctuations
Ruble trouble sends market RWAs up €1.4bn
CCPs vulnerable from reverse repo investments – Esma
European watchdog flags risks of uncovered exposure during liquidity stress event
Trading losses cancel out Goldman’s revenue in 2024 stress test
Bank hit hardest among those tested for market shock and counterparty default
Discord deepens over fund-linked trades in FRTB
More banks use punitive approach to capital treatment under new trading book regime, irking regulators
Vendors lack silver bullet for FRTB’s fund-linked issue
EU and UK legislators tried to ease capital charge by leaning on vendors, but problems persist