Counterparty credit risk
Is Citi’s SA-CCR hit a sign of things to come?
Higher capital costs for dealing in uncollateralised FX swaps and forwards could impact banks and clients alike
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
BNP Paribas notches three VAR breaches in Q1
Latest count puts bank on cusp of capital penalty
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
How to model potential exposure, post-Archegos
BofA quant’s model considers the correlation between market shocks and counterparty defaults
Nordea’s CVA charge jumps 30% in Q1
Highest reading for the Finnish bank since the start of 2019
UBS settlement risk up 238% as sanctions snag Russia trades
Held-up and failed counterparty transactions add almost $1bn to RWAs
SA-CCR hits Citi’s FX forwards pricing
Four clients say US bank has quoted “less competitive” spreads as a result of new capital regime
Mind the gap
A default intensity model reveals the risk carried by a highly leveraged counterparty
EU banks decry threat of capital hit to UK CCP exposures
EBA says supervisors could apply charges to “excessive exposures” of euro derivatives at all non-EU clearing houses
Citi’s share of cleared swaps hits new high
Latest quarterly increase, alongside that of Goldman Sachs, bucks trend across top US banks
Norway oil fund’s derivatives book balloons 192% in H2 2021
Sovereign wealth fund GPFG piled up FX and IR contracts and tapped CDS for the first time
Banks offer crypto clearing but, shhh, don’t tell
Top dealers clear crypto futures for select clients despite smorgasbord of risks
Estimating future value-at-risk from value samples, and applications to future initial margin
This paper discusses several methods to estimate fVaR or margin requirements and their expected time evolution, from simple options to more complex interest swaps.
Morgan Stanley curbs SA-CCR impact on core ratio
Impact of early implementation far below original estimates thanks to mitigatory action
SA-CCR switch pushes Goldman below Collins floor
Early adoption at the end of 2021 adds $15 billion of RWAs
Citi bolstered CET1 ratio on eve of SA-CCR switch
Standardised RWAs dropped 5% in Q4, boosting the bank’s core ratio by 55bp
UK banks’ RWAs return to growth
Latest Bank of England data shows first increase since Q1, 2020
Spanish regional bank’s CVA charge up 30-fold on SA-CCR
Banco de Crédito Cooperativo saw end-June charges balloon the most year-on-year across a sample of 120 European banks
SA-CCR halts Citi’s buybacks plan
Bank will pause stock buybacks until new year to mitigate new methodology impact and create extra capital headroom
SA-CCR brings little succour for FX dealers and clients
Spreads on swaps and forwards likely to widen as banks adjust to capital-intensive regime
How derivatives management is changing post‑Covid‑19
Risk.net explores five derivatives trading themes discussed by experts in a recent webinar sponsored by Numerix
XVAs and counterparty credit risk for energy markets: addressing the challenges and unravelling complexity
In this webinar, a panel of quantitative researchers and risk practitioners from banks, energy firms and a software vendor discuss practical challenges in the modelling and risk management of XVAs and CCR in the energy markets, and how to overcome them.
Morgan Stanley cleared swaps jump 9% in Q3
Latest quarterly increase, alongside that of Bank of America and State Street, bucks the trend across top US banks