Wrong-way risk (WWR) behaves differently for exposures to systemically important counterparties because their default has the potential to move financial markets before the close-out. Michael Pykhtin and...
Federal Reserve proposals limiting counterparty risk could put RBS and the UK government in one pot – potentially forcing US banks to cut exposure to both
BoE thought to be the first major central bank to change policy on collateralisation as it seeks to reduce dealer funding charges
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Sovereign counterparty articles
Link-up will allow institutional fixed-income investors to apply ESG investment strategies to their bond portfolios
Sovereign derivatives users have historically refused to post collateral, but this is creating huge funding and capital obligations for banks. Higher prices have forced some sovereigns to change tack – and others may be about to follow suit. By Matt...
The latest council draft adds a CVA capital charge exemption for sovereign derivatives transactions – potentially removing one of the big unintended consequences of CRD IV, participants say
The costs of transacting swaps with one-way CSAs mean more debt offices could join Hungary, Ireland, Portugal and Sweden
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
New report calls for debt offices to weigh the pros and cons of two-way collateral and clearing
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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