Counterparty credit risk
Canada’s top dealers boost derivatives clearing as FRTB kicks in
BMO, RBC and TD Bank cleared record C$45.1 trillion in notionals in Q1
Tradition links up with Komgo for energy credit optimisation
New partnership is one of four initiatives competing for dominance in wake of 2022 gas price spike
ECB raised Pillar 2 charges for just three CRE-heavy banks in latest SREP
Pfandbriefbank and Luminor saw largest increases across 106 banks subject to 2023 assessment
Fed unveils hyper-Archegos test to reveal bank blow-up risks
CCAR for 2024 includes analysis of simultaneous defaults of five largest hedge fund clients
Cleared US repos hit record high as MMFs wean off Fed
Deflating tri-party volumes coincide with FICC DVP trades’ climb to $2tn
Future expectations for XVA and counterparty credit risk management
Alberto Micucci, director, financial risk and analytics at S&P Global Market Intelligence, discusses his future expectations for XVA and counterparty credit risk management.
SA-CCR charges double at OCBC in Q3
Singaporean bank’s counterparty credit risk up 28% to multi-year high
FX HedgePool launches all-to-all FX swaps matching
P2P platform starts daily matching and opens up to banks, hedge funds and ECNs
Indian CCPs derecognition costs BNPP, Deutsche €6bn in RWAs
Esma’s decision forces re-weighting of local exposures by EU dealers
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
Firms seek optimisation gains as UMR and SA-CCR bite
A wider range of market participants is taking advantage of service providers such as OSTTRA’s optimisation cycles to drive margin and counterparty credit risk efficiencies across asset classes including FX, rates, equities, commodities and credit
As exposures mount, energy firms take up credit optimisation
Energy turmoil spurs demand for new counterparty rebalancing services in gas and power markets
Roll up for the BoE’s counterparty mystery tour
Letter warns of cross-currency repo risks, but they didn’t feature in Archegos or LDI blow-ups
RBC’s credit derivatives book grows fourfold on market-making push
Notionals of credit protection sold and purchased have ballooned 236% and 382% respectively since October 2022
US Basel endgame hits clearing with op risk capital charges
Dealers also fret about unlevel playing field compared with requirements in the EU
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
Overboard: ditching clients imperils Treasuries clearing mandate
Standardised docs a drop in the ocean as dealers eye potential costs of sponsored Treasuries clearing
RepoClear’s default fund halves in Q1
Elevated initial margin allows LCH service to scale back second line of defence to lowest point on record
ECB zeroes in on wrong-way risk as a key lesson of Archegos
Counterparty risk experts agree with focus on “long-neglected” topic after family office default
Initial margin hits all-time high at two LCH services
Despite initial margin spike, breaches at SwapClear climb to nearly 19,000
Peak IM call hits record $4.8bn at FICC’s GSD
Required IM also rose to all-time high during volatile Q1
SA-CCR charges surge at BNP Paribas and ING
Dealers’ RWAs rise combined €3.1bn in volatile Q1, among biggest quarterly jumps since SA-CCR’s EU debut