Counterparty credit risk
Eurex initial margin ebbed over Q2 as default fund swelled
Participant contributions to default fund up 55% quarter-on-quarter
JSCC placed majority of its default funds with the BoJ in Q2
Loss-absorbing resources stashed with commercial banks fell over the three months to end-June
Credit risk rethought – The new data imperative
The Covid‑19 pandemic has caused a seismic shift in the world of credit risk analysis. As pressure mounts on business leaders, regulators and governments, the demand for robust, reliable, forward-looking credit risk information is at a premium. Faced…
Counterparty risk product of the year: Moody’s Analytics
Asia Risk Technology Awards 2020
Credit Suisse, UBS counterparty exposures ballooned in Q2
Risk-weighted assets lagged surge in EAD
XVA traders have no time to rest on laurels
Markets have calmed, but they may not be out of the woods yet
BMO, Scotia crush CVA charges
CVA capital requirement fell 48% at BMO last quarter
Top US banks’ counterparties’ credit quality deteriorated in Q2
At Citi, exposures with a PD of 10% to 100% increased 73% quarter on quarter
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
At Danske Bank, market RWAs soar as credit risks dip
Bond binge contributes to 36% increase in market risk charge
JP Morgan posts $510m XVA gain
Benefit reverses some of the previous quarter’s record loss
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
Citi’s default fund contributions climbed $2bn in Q1
US bank sees requirement hike 27% quarter-on-quarter
Clearing banks show they’ve learned lessons of the past
CCP members were able to meet massive margin calls in March. But could they do it again?
Top clearing houses bolstered default funds over Q1
NSCC reported its guaranty resources grew 231%
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
Synthetics sweetener teases European banks
As structural woes resolve, regulators remain split on preferential capital treatment for STS deals
CVA capital charges jumped 50% at systemic US banks in Q1
Goldman Sachs’ charge climbs 76% quarter-on-quarter
Don’t run CCP auctions by fear, study argues
Paper by BoE economist and co-authors backs ‘second-price’ auctions and limited penalties
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Counterparty risk capital charges up 20% at top UK banks
StanChart CCR capital requirement jumps 41% over the first quarter
Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%
EU banks predict OTC trading terms will tighten – ECB
Almost one-quarter of surveyed lenders say conditions will deteriorate
CVA, market RWAs more than double at UBS in Q1
Overall risk-weighted assets increased 10% on end-2019