Counterparty
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
Europe looks to US for guidance as market braces for T+1
Operations professionals in Europe look across the pond for lessons in managing shorter settlement cycles
BNP Paribas is biggest fish in shrinking repo pond
Counterparty Radar: US retail funds cut their repo exposure in Q2 to the lowest level since 2020
US insurers take different paths to hedge FX
Counterparty Radar: Maturity and size of FX forwards trades vary significantly between firms
Crypto ECNs aim to offer alternative to Clobs
CrossX and Cypator bring ECN-style trading and settlement to crypto, but rivals claim infrastructure isn’t ready
Liquidity risk hits multi-year highs at both CME divisions
Changes to clearing member exposures and portfolio composition drive increases
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
DFAST mortgage loss rate doubles 2022 figure
At $6.9bn, JP Morgan would bear brunt of losses, according to Fed projections
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
CCPs shun central banks in liquidity buffers rejig
LCH, Ice US and CME lead the way towards commercial banks
Initial margin hits all-time high at two LCH services
Despite initial margin spike, breaches at SwapClear climb to nearly 19,000
NSCC member received record $42bn cash call in Q1
Largest payment obligation was 22% larger than previous quarter
MassMutual drives JP Morgan’s FX forwards surge with insurers
Counterparty Radar: Bank’s total values rise 72% in Q4 to crack top 10 dealer rankings for first time since Q2 last year
Peak IM call hits record $4.8bn at FICC’s GSD
Required IM also rose to all-time high during volatile Q1
SA-CCR charges surge at BNP Paribas and ING
Dealers’ RWAs rise combined €3.1bn in volatile Q1, among biggest quarterly jumps since SA-CCR’s EU debut
Liquidity risk hits record high at CME
Heightened market volatility in Q1 pushes F&O’s worst-case payment obligation up 13%
FICC’s liquidity pool $3.8bn short of payment obligation
Clearing unit for MBSs incurred first shortfall on record in January
Large US funds shrink exposure to top FX forward counterparties
Smaller managers increase top-dealer allocations as big beasts pull back
Mutual funds dump two-thirds of FX options positions in Q4
Counterparty Radar: Morgan Stanley Investment Management leads fall in volumes with big cuts to RMB trades
RBC’s settlement risk charges blow up 260%
C$3.5 billion RWA figure marks one of the heftiest capitalisation of held-up trades ever by a bank
Was Archegos default a one-in-a-million event?
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
RBC, JP Morgan become top MMF repo dealers
BNP Paribas slips to third place after 10 months in top spot
RepoClear’s concentration risks see highest rate of increase
LCH's cash bond and repo trade-clearing service has steepest slope of IM and open positions over 2016–22
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings