Counterparty risk
Swaps, repo counterparties of US banks grew riskier in 2020
At Citi, counterparty credit RWAs for OTC portfolios increased 51%
Ailing loans added $15bn to StanChart’s RWAs in 2020
Effects of credit deterioration offset by disposals, portfolio reductions
Derivatives house of the year: Citi
Risk Awards 2021: digital bets and customer-centric model paid off during pandemic
The slow corporate embrace of CSAs
Risk.net research finds 28 of 50 large companies now have CSAs – but has the trend run its course?
CVA charges concentrated among top banks in Europe
Crédit Agricole, Deutsche Bank, Barclays, Commerzbank and Societe Generale account for 31% of total CVA across 135 banks
Fine margins – Integrating risk and IM costs under new CCP risk models
This white paper, based on the findings of a Risk.net survey commissioned by Nasdaq, assesses market participants’ efficiency in managing risk, margin and collateral amid increased volatility, and the transition to new central counterparty risk…
To offset US sanctions risk, banks bake in China loan clauses
Global lenders seek to hedge against the threat of US sanctions on China – which seems unlikely to ease under Biden
Lloyds’ the outlier as UK banks crush CVA charges in Q3
Aggregate CVA RWAs of top five UK banks fell 21%
PBs seek remedy for credit addiction in FX
Group set up after big Citi loss considers limit-checking hub, among other options
Citi turns to fintech to boost FCM interest income
Clearing giant is optimising its treasury function to combat low rates and CCP fee hikes
Ex-Isda risk chief: ditch gross notional thresholds for clearing
10 years on, David Murphy says mandate should be rebased to exempt less risky firms
Eurex initial margin ebbed over Q2 as default fund swelled
Participant contributions to default fund up 55% quarter-on-quarter
Which EU banks hold the most loans subject to Covid relief?
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
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
Counterparty risk product of the year: Moody’s Analytics
Asia Risk Technology Awards 2020
Tougher OTC trading conditions to persist, say European banks
Seventy-three per cent of respondents expect tight price and non-price terms through September
Dealers eye model change to cure CVA capital headache
With hopes of EU regulatory carve-out fading, some banks are taking matters into their own hands
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
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?
EU banks expect further margin reprieve for equity options
Exemptions for intra-group and equity options from non-cleared margin rules expire by January 2021
Libor webinar series – Liability-driven investment fund managers and investors
Nobody knows what will happen to Libor at the end of 2021, but the market has to be ready for anything – including the benchmark’s demise. This continues to be the message from regulators, despite the havoc caused by the Covid-19 pandemic. The coming…
Intersecting technology with clear purpose – Uninterrupted collateral management and how to get there
This webinar explores how market participants can handle the increased volumes in margin calls and disputes through real-time inventory management
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%