Counterparty risk
Banks warn of trader crunch at CCP default auctions
Risk USA: dealers hope for more cross-CCP fire drills
Lloyds’ counterparty credit risk charge rises £60m in Q3
Charge for mark-to-market changes to derivatives increases 10%
Best CVA practices in Japan
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…
LCH SA members add €371m to cash, derivatives default fund
Funds for other clearing activities see quarter-on-quarter falls, in contrast
Ice’s European CDS clearing house adds €175m to default fund in Q2
In contrast, futures and options fund shrinks 6% quarter-on-quarter
Basel III heralds wild CVA capital swings
Minimum required capital for CVA to climb 64% for large banks, but some banks will see falls of up to 67%
LCH SA on the hook for €32bn if member defaults
Payment obligation, if realised, would wipe out 50% of CCP’s liquidity buffer
ETF strategies to manage market volatility
Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…
DTCC default fund contributions climb 15%
CCP had 270 clearing members at end-June
Eurex Clearing members add €609m to default fund
Initial margin posted in Q2 soars 5%
JP Morgan’s CVA charge jumps $249m in Q2
All US G-Sibs post higher CVA capital requirements for the quarter
Top UK banks cut CVA charges by 9% in Q2
Standard Chartered is only outlier among big five to see capital requirement rise
JSCC member default fund contributions fall to ¥676bn in Q2
Default fund contributions shrink 19%, but members’ initial margin payments climb
Big US banks hold more Treasuries as swaps collateral
Government securities made up 8.2% of all initial and variation margin at G-Sibs in Q2
Two US dealers grow appetite for counterparty risk
JP Morgan sees risk weight of portfolio climb to 41.5%
SA-CCR switch cuts leverage of two Japanese banks
Leverage exposures for Nomura and Norinchukin fall ¥4.7 trillion in aggregate
EU banks relax credit terms for OTC trades – ECB
Price and non-price trade conditions likely to ease for most firms in Q3
DFAST market shock accounts for a quarter of big bank losses
Trading and counterparty losses hit $88.1 billion for banks subject to global market shock
Ice Clear Europe default fund contributions jump 21%
The clearing house reported 78 clearing members for futures and options division
DFAST: JP Morgan accounts for one-fifth of projected losses
Bulk of losses would come from bank’s loan portfolio, projected to incur total losses of $60.3bn
Fire sales turn a crash into a crisis, simulation shows
‘More realistic’ core-periphery model leads to wipeout of network if several nodal banks default
Counterparty risk: credit valuation adjustment variability and value-at-risk
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.