Regulatory focus on 'market-linked contingent capital in the trading book
,' such as Credit Valuation Adjustment (CVA), Standardized Approach for measuring Counterparty Credit Risk (SA-CCR), and Fundamental Review of the Trading Book
CVA (FRTB CVA)
Aggravating that problem, the rule presumes that any security held for more than 60 days in the trading book
is a proprietary trade.
Summary: Goldman's trading book
exposure far higher than its archrival
The Basel Committee subsequently undertook a fundamental review of the trading book
. The original proposals were watered down, but we think the final revised minimum capital standards for model-driven market risk are positive for creditors because improved model standards and more prudent methods employed to capture risk should mean trading risks are more accurately capitalised.
4 July 2014 - US financial services major Morgan Stanley (NYSE:MS) has taken control of the bulk commodities trading book
dealing in coal, iron and freight forward contracts of German sector player Deutsche Bank AG (ETR:DBK), Reuters reported, citing a source in the know.
The Tokyo Stock Exchange (TSE) has imposed disciplinary action against brokerage firm San-ei Securities for trying to cause price fluctuations in Japanese stocks in order to benefit its proprietary trading book
Citigroup on Monday estimated that if the CEBS exercise had stress-tested banks entire sovereign debt holdings, rather than just their relatively small trading book
investments, 24 banks would have failed with a combined capital shortfall of 15bn ($19.5bn).
The rule change effectively triples the amount of capital they have to hold against potential losses on the trading book
(all the financial instruments a bank buys and sells on the stock market).
That is why I recently proposed a measure to provide firms with more flexibility on mark-to-market requirements and to facilitate asset transfer from the trading book
to the banking book.
The DENA assets to be divested include approximately 6,200 MW of power generation located primarily in the West and Northeast as well as substantially all of DENA's trading book