Counterparty risk
Buy-siders eye ways to get ahead of US resolution stay rules
Come July 1, asset managers will be unable to dump derivatives as a G-Sib is unwound. Lawyers are standing by
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
A tale of two CCPs
Nasdaq and Ice breaches carry warnings for the market
CME trims default fund in Q3
Non-interest rate futures and options default fund reduces by $3.7 billion
JP Morgan slashes UK exposures ahead of Brexit
Derivatives and securities exposures halved since June 2016
Driverless insurance: regulating Prudential without the Fed
Scrutiny on largest US insurer should not be laxer than on second-tier US banks, experts warn
Nasdaq default: rivals question direct clearing
“Was this individual margined correctly?” asks Ice’s Sprecher
Eurex default fund swells to €4.5 billion
Second quarter saw the second-largest quarterly increase since the CCP began reporting in 2015
Compression lessons from Japan
Chinese banks remain reluctant to compress, but Japan’s example offers succour
UK banks build up risk in Q2
Total RWAs were up £57 billion, from £2.89 trillion to £2.94 trillion
JP exec calls for derivatives margin changes
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Counterparty credit exposure won't spark the next Lehman
Curbing of riskiest exposures and shedding of assets means banks in far better shape 10 years on
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
Optimisation services edge closer to EU clearing exemption
Lawmakers ask European Commission to consider if offsetting non-cleared trades could be exempt
EU banks slash default risk estimates for corporates by 30%
Probabilities of default fall on average across 39 countries
Counterparty risk builds at Bank of America, JP Morgan
Higher portion of RWAs attributable to more risky derivatives and repo counterparties
OCC stands by margin model as regulators investigate
As watchdogs probe Q1 breaches, CCP executives insist margin models worked as intended
EU banks toughen terms for OTC trades – ECB
Credit conditions for SFT and OTC derivatives tightened over past three months
Multifactor granularity adjustments for market and counterparty risks
In this paper, the authors propose several flexible families of models to manage the market and/or the counterparty risk of portfolios of financial assets.
CCAR losses concentrated at four US banks
BAML, Citi, JP Morgan and Wells Fargo account for more than half of total CCAR projected losses
CCAR projected losses top half a trillion
Trading and counterparty losses made up 20% of total predicted losses across participants
CME reports two margin breaches in Q1
Shortfalls totalling $79 million were by far the largest for the CCP since public reporting started in 2015
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
Reform fails to solve collateral woes in Korea
Korean swaps users wary of collateral reuse, leaving dealers with LCR burden