US banks have almost eliminated capital charges attached to correlation trading positions over the last four years.
Five of the largest dealers – JP Morgan, Citigroup, Bank of America, Morgan Stanley, and Goldman Sachs – have reduced capital requirements set by the standardised comprehensive risk measures (CRM) by between 75% and 94% since Q1 2015.
The CRM charge is intended to capture risks linked to correlation trading portfolios, including credit default swap (CDS) index tranches and
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