Counterparty credit risk
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
Rate of centrally cleared CDSs hits record high
Multi-name products drove increase in first half of 2021
Finma hits UBS with $7bn add-ons
Bank’s prime brokerage unit and VAR model targeted by the Swiss regulator
No fair: buy side takes on pricing problem in FX forwards
Interest in TCA is growing as new data sources offer glimpse into murky swaps and forwards market
EU banks’ derivatives exposures jumped 36% in H1
Top banks added €235bn since December, amid switch to SA-CCR and a new leverage ratio template
US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio
The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era
After Archegos, a bigger role for XVA desks?
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how
Counterparty risk solution of the year: Moody’s Analytics
Asia Risk Awards 2021
Santander’s CVA charge jumps 94% in Q2
Among the other EU systemic banks, higher capital requirements also at SocGen, ING, Crédit Agricole and UniCredit
StanChart’s CVA charge up 19% in Q2
Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
EU banks aim to block new counterparty risk guidance
Requirement to include exposure spikes linked to swap payments within EEPE models prompts blowback
FX forwards and swaps
LCH’s Kah Yang Chong, head of FX Emea product, and James Shanahan, head of FX quantitative analytics, discuss whether clearing of FX forwards and swaps – so far limited by requirements under UMR – will provide the efficiencies market participants need
Internal model revamp adds €3.2bn to Commerz’s CCR RWAs in Q2
IMM update drove most of 37.8% increase in total CCR RWAs
Deutsche takes €17.7bn RWA add-on in final Trim hit
Leveraged loan portfolio among targets of ECB’s remedies
ING takes €5.2bn RWA hit from SA-CCR and last of Trim
Regulatory inflation negates RWA decrease from better loan-book quality
Derivatives pricing starts feeling the heat of climate change
Quants find physical and transition risks can lead to significant rise in CVA
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
UBS revises credit and counterparty risk estimate
Changes to the bank’s models and methodology expected to add $6bn in second half of the year
UK banks’ RWAs near record low – BoE
Lower credit and counterparty RWAs led the quarterly drop, latest figures show
Nomura understated VAR capital charges by 13% in H2 2020
VAR RWAs should have been ¥122 billion higher than originally stated at end-December
Deep XVAs and the promise of super-fast pricing
Intelligent robots can value complex derivatives in minutes rather than hours
Credit risk exposures shrink share of top UK banks’ RWAs
Barclays reported the biggest drop, both on a quarterly and yearly basis