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Esma questions CCP ‘free ride’ for sovereigns
Regulator has asked EC to take a stance on venues that let public entities clear without posting margin
New method proposed for modelling large op risk losses
Outsize loss events modellable through extension of approach to measuring moderate losses, says research
Citi continues cutting derivatives exposure
Total is down 16% from 2016, limiting impact of US leverage ratio
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Risk Quantum
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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.
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7 days in 60 seconds
Interbank benchmarks, Brexit and conduct risk in Asia
The week on Risk.net, May 12-18, 2018
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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