Counterparty credit risk
US swaps end-users cry foul over SA-CCR punch
Capital on non-margined trades jumps 90%, and energy firms face double hit
Will the Nasdaq default spur CVA for CCPs?
Quant proposes model to calculate bank credit risk exposure to CCP
Central counterparty CVA
Matthias Arnsdorf proposes a method to calculate the counterparty risk related to CCP membership
Lower credit risk shrinks UK banks’ RWAs
Figures from the Bank of England show total RWAs for the UK banking sector amounted to £2.83 trillion at end-December
SA-CCR would dent US dealers’ leverage ratios – trade bodies
Goldman Sachs, Morgan Stanley and JP Morgan would likely see the largest leverage exposure spikes
Top UK banks cut CVA capital by £190 million
Barclays and StanChart are only two banks with higher CVA capital requirements in 2018
Capital requirements for options are ‘crazy’ – DRW
Wilson says current rules penalise options, but SA-CCR does not go far enough to fix the problem
Fed may delay counterparty limits for foreign banks
Other countries need time to catch up on Basel large exposures rule, Fed official says
Goldman Sachs cuts CVA capital 39% in 2018
On aggregate, CVA charge across US G-Sibs fell $2.2 billion to $14 billion year-on-year
Mizuho reveals $270m CVA loss
Further losses may be reported as bank refines its methodology, sources say
Model expansion cuts Barclays' counterparty risk by 24%
Total CCR risk-weighted assets shrink on modelled exposure measurement approach approval
Regulators to scrutinise CCP default auctions
CPMI-Iosco preps discussion paper as banks warn further guidance needed after Nasdaq default
Dawn of CVA threatens hedging woe for Japan banks
Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say
Intesa Sanpaolo slashed bad loans 26% last year
NPL ratio plummets to 4.2% from 6.2% in 2017
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
UBS warns of $6.5bn jump in credit RWAs in Q1
Credit and counterparty RWAs stood at $147.9 billion at end-2018, up $1.6 billion from the third quarter
Podcast: Kenyon and Berrahoui on the pitfalls of PFE
Quants propose replacement to existing credit risk measure
Does credit risk need an expected shortfall-style revamp?
Quants propose tail risk-sensitive measure for counterparty credit risk
Counterparty trading limits revisited: from PFE to PFL
The potential future loss is proposed as a replacement for PFE
Non-netting status denies capital boost for Chinese banks
Reliable close-out netting could cut China’s SA-CCR capital requirements by around 20%
Fall in market risk prods UK bank RWAs lower
Total RWAs amounted to £2.9 trillion at end-September
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
ING reaps third-quarter CVA capital savings
Intesa and Caixabank also see CVA charges decline
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility