Counterparty risk
Record $95bn in equities sits with US banks as OTC margin
Stocks on par with US Treasuries in top dealers’ collateral trove
FICC takes record bite from MMF repo investments
Funds shift cash from the Fed’s ON RRP as cleared repos hit $1.11trn
Large US banks pile up CVA charges amid tariff shock
JP Morgan’s CVA risk-weighted assets saw largest jump in second quarter since Covid-19
Is the Netherlands the EU’s main source of counterparty risk?
Experts surprised by results of exploratory scenario in 2025 ECB stress-test
Danske shrinks CVA capital charges 44% after hedge revamp
Credit protection buying spree helps cut capital requirements to lowest level since 2014
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
One to watch: Fenergo
Energy Risk Awards 2025: SaaS firm brings digitalised counterparty management to energy and commodities
Till def(ault) do us part: reassessing counterparty risk between global systemically important banks and central counterparties
The authors investigate how far liquidity at G-SIBs may be available to CCPs prior to a G-SIB resolution beginning and before a forced closeout is necessary, allowing the G-SIB to continue trading with a CCP until a payment default occurs.
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
Basel tweak may weaken counterparty hedging, industry warns
Proposed technical revision risks dissuading bespoke CDSs and guarantees covering derivatives exposures
Large banks safer for CCPs than they get credit for
Plentiful pre-positioned liquidity softens the blow of resolution, new research argues
US MMFs clear record one-third of repos via FICC
Trades executed through sponsored access hit a $865 billion high at end-2024
Dissecting initial margin forecasts: models, limitations and backtesting
The authors demonstrate that initial margin is not value-at-risk, but its approximation, and suggest a generic backtesting and verification framework that accommodates both forecasting limitations and existing models.
RBC’s CVA risk charges swell 42% in first year under FRTB
Bloating RWAs contrast with declines at peers employing new standardised approach
Review of 2024: as markets took a breather, firms switched focus
In the absence of major crises and rules deadlines, financial firms revamped strategy, services and practices
Credit risk transfer, with a derivatives twist
Dealers angle to revive market that enables them to offload counterparty exposures, freeing up capital
UniCredit slashes CCP exposures by nearly 40% in a year
Lower exposures at default for exchange-traded derivatives the main driver behind overall drop
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
Counterparty risk innovation of the year: Cumulus9
Cumulus9 proved standout vendor by bringing inventive solutions to the market, securing the award for Counterparty risk innovation of the year at the Risk Technology Awards 2024
The post-Archegos risk model rebuild begins… slowly
Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort
Thames Water: a handy guide for worried counterparties
The UK’s largest water company – now junk-rated – has £1.3bn in swaps liabilities. Dealers ought to be safe, but face a host of headaches and questions