Counterparty credit risk
Living with SA-CCR, one year on
Collateral agreements and FX futures may be some of the ways to tackle increased capital costs
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
NSCC and OCC to enhance co-operation on large cash calls
New deal would improve management of options expiries, but will stop short of cross-margining
Uncleared, unrated CDS notionals boomed in H1 2022
Non-cleared trades up 21% in six months and 14% in twelve, BIS data shows
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
XVAs and counterparty credit risk for an energy market in crisis
Europe’s current energy crisis, coming on the heels of global market volatility caused by the Covid-19 pandemic, has introduced additional complexities to valuation adjustments and counterparty credit risk modelling. Additionally, underdeveloped forward…
European banks’ CVA RWAs up €2.2bn in Q3
Banco Sabadell, Intesa Sanpaolo and ING Bank reported largest quarterly increases
Strong dollar pushes ANZ’s CVA charges up 57%
Risk-weighted assets rose A$1.4 billion in three months; biggest quarterly increase since mid-2019
Pension funds face intraday margin calls from anxious clearers
Some banks stick with T+1 margin posting, but others balk at funding cost and counterparty risk
SA-CCR’s sacrifice: who stands to lose from new capital rules
Risk.net research shows the potential for dealers to be left at a disadvantage to their foreign rivals
CVA exposures to UK corporates jump ‘hundreds of millions’
Dash for credit protection triggered a doom loop in the CDSs of cross-currency swap counterparties
FX market weighs viability of spot clearing
Supporters believe it could remove credit risks, but others say it would be unnecessary and add costs
Counterparty credit risk: special report 2022
This Risk.net special report contains a collection of articles that consider the impact of SA-CCR and how banks are adapting to the new regime, as well as the challenges of managing counterparty credit risk and reducing the cost of trading over-the…
XVAs boost Helaba trading income but inflate hedging costs
Expense from non-trading hedges reaches highest since at least 2016
EU Parliament creates multiverse of SA-CCR outcomes
Some MEPs want to ease rules further than EC draft; others want return to undiluted Basel text
Credit checks, what credit checks? How crypto lending ate itself
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
Managing CCR to reduce the all-in cost of OTC derivatives portfolios
Erik Petri, head of triBalance at OSTTRA, explores how counterparty credit risk (CCR) compounds the costs of trading over-the-counter (OTC) derivatives and the maintenance of derivatives portfolios, examining the nuances of OTC credit risk management,…
Archegos revives Lehman-era trade booking controversy
Experts debate whether defaulted TRS positions should have become house exposures immediately
BNP Paribas’ CVA capital charge hits record high
Risk-weighted assets for potential drop in value of derivatives instruments reached €6bn in June
European banks can’t escape SA-CCR hit, warns FX exec
Although not yet directly affected, EU dealers may feel regulation’s impact, says Goldman’s Wilkins
Project finance risk methodologies
Federico Tacchetto, senior manager at Prometeia, describes how to calculate risk parameters for project finance exposures. Based on a simulation approach of the cashflows, it is assessed whether the generated net revenue will be sufficient to repay the…
Late EU clearing house recognition spooks dealers
Bank capital requirements on exposures to affected foreign CCPs could jump after June 28 deadline