German government-owned development bank KfW managed to win an exemption from clearing and margin requirements under European derivatives regulation - a benefit not extended to its peers. Luke Clancy asks why
In this video discussion, Duncan Wood, editor of Risk, talks to Nick Sawyer, Risk’s editor-in-chief, about attempts to price in a replacement valuation adjustment on derivatives trades
Hedges worked as capital mitigant, but generated an accounting loss, bank says
EBA surprises industry with eleventh-hour guidance that spread simulations – not just initial levels – should account for rating, region and sector
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach is focused more on the centre of the distribution,...
Europe isolated as US regulators opt for broad counterparty risk charge
Europe’s credit valuation adjustment exemption was the outcome of a protracted legislative debate, but it may prove to be the end of a chapter, rather than the end of the story. As US banks protest and supervisors review the issue, a number of problems...
The decision by European legislators to exempt EU banks from the CVA capital charge when trading with certain counterparties has infuriated regulators at home and abroad. Nick Sawyer discusses the issue with Duncan Wood
Risk-weighted assets at Royal Bank of Scotland would have been £36 billion lower if exemption agreed earlier this year had been recognised
Supervisors ‘should accept the legislation that the council and the parliament in their wisdom have decided upon’, warns MEP
Commodity businesses must have broad client base to absorb increased regulatory costs, says JP Morgan commodities head
Federal Reserve will not mirror European exemptions but could instead modify treatment of CVA and market risk hedges, industry sources say
Respondents to Risk España’s survey expect to see declines in over-the-counter derivative volumes as a result of regulation and believe less than half the OTC market’s total notional value will be eligible for clearing
The crisis did not start in Asia, but Asian countries have been among the first to implement the resulting capital and liquidity regime – while the US and Europe have yet to move. The result is an unlevel playing field, says Elbert Pattijn, chief risk...
Regulatory change will force firms to alter their behaviour, and their technology platforms need to keep pace
Three quarters of survey respondents believe regulators should copy the European Union’s CVA exemptions for trades with corporates, pension funds and sovereigns
Bilateral CVA of optional early termination clauses
Bill calls for FSOC to analyse impact on US of EU exemption as corporates press for a carve-out
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical...
New capital requirements are making it more difficult for banks to trade with counterparties that are not covered by a netting opinion. That is spurring attempts to expand coverage, but can leave banks and lawyers on uncertain ground. By Lukas Becker