Risk.net
Latest
Foreign banks in US wary after funding costs rise
Following jump in Libor/OIS spread, many US entities continue borrowing from parents
Softer repo treatment seen as up for grabs in final US NSFR
Funding rules for Treasury repo on shortlist of changes; lower swaps add-on viewed as done deal
Concentration of client positions rises at LCH
Over 75% of client positions handled by five largest clearing members at LCH Ltd
Latest
Risk Quantum
Data insights, delivered daily
Risk Quantum finds insights in data. The service tracks the public disclosures of over 120 banks, funds, insurers, corporates, and central counterparties – as well as reports from prudential and markets regulators – in Asia, Europe and North America.
Editors' choice
CME has chance to rule US rates after Nex deal
Market expects exchange to unite bond, repo, futures and swaps clearing – eroding grip of banks and DTCC
Big Figure
Credit quality quake
Counterparty credit risk at JP Morgan is climbing, with an increasing share of its derivatives and repo books now seen as more likely to default. Exposure amounts and risk-weighted assets (RWAs) for these trades have increased considerably over the last two years. The biggest change is in the portion of RWAs consumed by the least-risky counterparties – those with a less than 0.15% probability of default (PD). This group now represents 36% of total counterparty credit RWAs, down from 57% two years ago.
Read the full article
7 days in 60 seconds
Interbank benchmarks, Brexit and conduct risk in Asia
The week on Risk.net, May 12-18, 2018
Receive this by email
Comment
Simple models won’t cut it for systemic risk
Swaps data: the allure of liquidity
Monthly op risk losses: banks count the cost of IT failures
Credit data: firms with fewer well-paid women are riskier
Our Take
Swaptions CCP basis arrival raises wider valuation questions
Rolet is right – for now
Putting swaptions pricing in the fast lane
Europe struggles to get a grip on derivatives transparency