Counterparty credit risk
Synthetics sweetener teases European banks
As structural woes resolve, regulators remain split on preferential capital treatment for STS deals
CVA capital charges jumped 50% at systemic US banks in Q1
Goldman Sachs’ charge climbs 76% quarter-on-quarter
Don’t run CCP auctions by fear, study argues
Paper by BoE economist and co-authors backs ‘second-price’ auctions and limited penalties
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Counterparty risk capital charges up 20% at top UK banks
StanChart CCR capital requirement jumps 41% over the first quarter
Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%
EU banks predict OTC trading terms will tighten – ECB
Almost one-quarter of surveyed lenders say conditions will deteriorate
CVA, market RWAs more than double at UBS in Q1
Overall risk-weighted assets increased 10% on end-2019
At Bank of America, trading revenues get a $300m DVA boost
But credit and funding valuation adjustments deducted $492 million from other income
Entering 2020, most CCPs had bigger default funds than a year ago
Majority of back-up funds to handle member defaults saw more pre-funded resources flow in
A sensitivity analysis of the alpha factor
In this paper, we investigate the alpha factor’s sensitivity to key model parameters under stylized portfolio assumptions in order to better understand its complex characteristics. Our analysis is based on the numerical simulation of alpha sensitivities…
Equity, Treasury collateral builds up at US G-Sibs
Fair value of equity collateral rises 19% year-on-year
Outsmarting counterparty risk with smart contracts
A digital transaction system developed by quants at DZ Bank could slash margin costs for derivatives
Citi shed over $32bn of counterparty exposures in Q4
Risk-weighted assets for CCR exposures dropped -12%
Swaps exposures of US G-Sibs dropped 12% in Q4
Net current credit exposures hit $474.8 billion by year-end
SA-CCR barely dents Commonwealth Bank’s capital ratio
Twelve basis point hit to CET1 capital ratio exceeds 7bp estimate
EU bank clients pressed for better trade terms in 2019
Hedge funds saw price and non-price conditions tighten in Q4
Credit risk – The bank data challenge in frontier markets
As the regulatory net tightens, banks working in and across frontier regions are under pressure to source and maintain more accurate data in the assessment of counterparty credit risk, but some are investing in tools to tackle the problem
At UBS, asset cull drives down RWAs
Final quarter of 2019 saw risk-weighted assets fall $5.4 billion
Inside top CCPs’ default funds
Central banks favoured by CCPs to hold default resources
Small, speculative clearing members – are they worth the risk?
CCPs need new tools to scrutinise their members, for everyone’s good health
One bad apple: default risk at CCPs
One clearing member's disproportionately large position increases the credit risk for all CCP members
JSCC caps member cash calls, revamps futures margin model
Clearing house set to end unlimited default fund top-ups for futures clearing
US sidetracks bid to end European CVA exemption
Fed’s change to SA-CCR capital renews EU industry calls to preserve carve-out