Counterparty risk
Crypto ECNs aim to offer alternative to Clobs
CrossX and Cypator bring ECN-style trading and settlement to crypto, but rivals claim infrastructure isn’t ready
On-chain FX’s brave new world excites some, worries others
Trading tokenised versions of currencies on blockchain could slash settlement risk but sceptics raise concerns over liquidity and pricing
Op risk data: UBS lands $380m Archegos loss
Also: BofA billed for bilking customers; red faces over Deutsche greenwashing. Data by ORX News
RepoClear’s default fund halves in Q1
Elevated initial margin allows LCH service to scale back second line of defence to lowest point on record
CCPs shun central banks in liquidity buffers rejig
LCH, Ice US and CME lead the way towards commercial banks
NSCC member received record $42bn cash call in Q1
Largest payment obligation was 22% larger than previous quarter
Peak IM call hits record $4.8bn at FICC’s GSD
Required IM also rose to all-time high during volatile Q1
SA-CCR charges surge at BNP Paribas and ING
Dealers’ RWAs rise combined €3.1bn in volatile Q1, among biggest quarterly jumps since SA-CCR’s EU debut
Citi’s CVA charge up 7% in Q1
Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America
Bayesian backtesting for counterparty risk models
Utilising Bayesian methods, the authors put forward a new means for counterparty risk model backtesting which is both simple to implement and conceptually sound.
MUFG’s settlement risk surges fourteenfold
Risk-weighted assets for Japanese lender’s unsettled transactions cross ¥300 billion mark in the first three months of 2023
Large US funds shrink exposure to top FX forward counterparties
Smaller managers increase top-dealer allocations as big beasts pull back
Initial margin at OCC declined over Q4
Calmer markets triggered downward revision as requirements drop $30bn
RBC’s settlement risk charges blow up 260%
C$3.5 billion RWA figure marks one of the heftiest capitalisation of held-up trades ever by a bank
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
RepoClear’s concentration risks see highest rate of increase
LCH's cash bond and repo trade-clearing service has steepest slope of IM and open positions over 2016–22
CCPs’ largest members account for almost half IM
Analysis of 30 clearing services shows wide dispersion in concentration risk – with LCH and JSCC leading the pack
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
Ice Europe made $7.8bn VM call in Q3
Highest cash call on record triggered by higher commodity prices as Europe energy crisis persists
European banks’ CVA RWAs up €2.2bn in Q3
Banco Sabadell, Intesa Sanpaolo and ING Bank reported largest quarterly increases
US dollar Libor transition: the role of CCPs in conversion
As the transition from Libor to alternative risk-free rates approaches a new milestone, Philip Whitehurst, head of service development, rates at LCH SwapClear, discusses the central counterparty's (CCP's) plans for US dollar Libor conversion, the…
Treasury clearing will drive up trading costs: BofA exec
Rates co-head warns SEC proposal could squeeze smaller dealers out of Treasury market
Counterparty risk allocation
This paper investigates the problem of minimizing the risk of exposure to a small number of defaultable counterparties based on spectral risk measures.
Ice Credit’s required initial margin up 18% in Q2
CCP reported highest level on record, superseding Covid-19-induced peak