Counterparty credit risk
European capital rules could squash CVA feedback loop
Original headline:
The European Parliament version of CRD IV exempts trades with non-financials from Basel III's CVA capital charge - and dealers are hoping it covers sovereigns as well as corporates
Original headline:
Dealers claim regulators have cooked up a pro-cyclical credit value adjustment (CVA) capital charge that encourages CVA desks to buy credit default swap protection as a hedge. This could push spreads wider,...
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Leading quants highlight ambiguity in Isda master agreement - but warn that resolving the issue could worsen systemic risk
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Cutting Edge introduction: clarity needed on credit adjustments
Original headline:
A debate over whether to include counterparty risk adjustments at the point of default is animating quants, but either of the obvious answers could exacerbate systemic risk. Laurie Carver introduces this month’s technical papers
Cutting Edge: the year of CVA
Original headline:
With derivatives counterparty risk rocketing up the agenda this year, researchers have tried to shed some light on the associated challenges - from capital calculation to pricing - as the annual round-up of Risk's technical papers and citations shows....
Eksportfinans faces collateral questions following downgrade
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Junk-rated export lender says it has enough reserve liquidity to meet obligations while it is being wound up - but dealers are not convinced
Cutting Edge introduction: the DVA debate
Original headline:
Banks profiting from a widening of their own credit spreads is causing more scrutiny of the debit value adjustment, with some viewing it as an accounting trick and others arguing it is a fact of life, however counter-intuitive it might seem. Laurie Carver...
Foreign regulators leave US isolated on uncleared margin rules
Original headline:
The extraterritorial application of US uncleared margin proposals will make it tough for US banks to compete with their foreign counterparts in swaps business unless the proposals are copied by regulators in other international jurisdictions. That’s...
Margin models converge as CCPs battle for dealer support
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Dealers say they won’t join clearing houses that are not robust – and have already blackballed one central counterparty. As a result, the initial margin methodologies employed by the big rates clearers have begun to converge. Matt Cameron reports...
Corporates fear CVA charge will make hedging too expensive
Original headline:
Uncollateralised trades will consume up to four times more capital under Basel III, dealers say. If that translates into a similar jump in pricing, corporates believe they may have to hedge less. Michael Watt reports
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