Concentration risk
EquityClear’s IM concentration hits record high
Membership dwindles as LCH SA continues to wind down service
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
More data urged for effective counterparty credit risk management
Disclosure of client positions may not be commercially realistic, expert warns
House of cards? The $3 trillion (non-systemic) real estate risk
Regional banks share the bulk of US commercial real estate exposure, but the sector’s downturn doesn’t faze them
Open position concentration hits record high at top CCPs
LCH, Nasdaq and Eurex report biggest quarterly jumps among 16 clearing houses
One year on, regulators still want a cure for bank runs
Broad support for higher outflow assumptions on uninsured deposits, but that won’t save insolvent banks
BofA, PNC lead Q1 rise in non-performing CRE loans
Commercial real estate write-offs also increased, driven by office loans
Quantifying credit portfolio sensitivity to asset correlations with interpretable generative neural networks
This study introduces a method for assessing the impact of asset correlations on credit portfolio value-at-risk using variational autoencoders (VAEs), offering a more interpretable approach than previous methods and improving model interpretability.
CFTC chair backs easing of G-Sib surcharge in Basel endgame
Isda AGM: Fed’s proposed surcharge changes could hike client clearing cost by 80%
Top 10 operational risks for 2024
The biggest op risks for the year ahead, as chosen by senior industry practitioners
Capital One puts OCC’s tough stance on mergers to the test
Proposed Discover deal should be approved but will go under the microscope, ex-regulators say
As FCMs dwindle, regulators fear systemic risk
Panellists highlight dangers of clearing membership becoming more concentrated
Record rise in concentration at top CCPs leads to all-time high
Median top-five member open position concentration rises 2.4pp in Q4
At some US regionals, CRE loans eclipse tangible equity by up to 7x
Valley National, NYCB and First Foundation the most levered in a sample of 30 banks
Taming the systemic risk Hydra: 10 years of mandatory clearing
Regulators, clearers and market participants reflect on a decade of the clearing requirement
EquiLend cyber hack exposes trade reporting dependence
Ransomware attack at securities lending platform disrupts regulatory compliance
Clearing members cheer plan for more transparency on CCP margin
European Parliament wants to amend Emir 3.0 draft to put extra obligations on clearing houses
Concentration risk ticks up at large CCPs
Top five clearing members accounted for almost half IM and open positions in Q3
Climate capital in the balance as EBA rejects green risk weights
European regulator suggests climate change must be factored into existing risk categories
CFTC sounds the alarm on clearing capacity
US regulator warns porting cannot be guaranteed in the event of a large member default
Hard concentration: clearing members want clarity from CCPs
FCMs complain they struggle to pass opaque margin calculations through to end-clients