Counterparty
UBS settlement risk up 238% as sanctions snag Russia trades
Held-up and failed counterparty transactions add almost $1bn to RWAs
Ice Clear Europe issued $5.4bn VM call in Q4
Price volatility in energy markets behind the largest cash call on record by the CCP
Collateral resilience is more than just understanding initial margin
New regulations and extreme global events are seeing initial margin (IM) requirements rise in prominence, with investment managers needing to focus on more than just their regulatory and operational compliance
Eurex boosts liquidity buffer by 26%
Increase largely driven by the growth of the CCP’s IRS business
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Climate risk and central counterparty risk management
In this paper, the European Association of CCP Clearing Houses discusses several aspects of climate risk, including how climate risk is currently integrated into central counterparty stress testing, the metrics within climate risk and how central…
A cost–benefit analysis of anti-procyclicality: analyzing approaches to procyclicality reduction in central counterparty initial margin models
In this paper, the authors suggest how margin setters and policy makers might measure procyclicality and target particular levels of it by recalibrating parameters in a margin model to reduce its procyclicality or by applying an anti-procyclicality tool.
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
NSCC’s liquidity pool twice short of payment obligation in Q3
The CCP reported a shortfall in its qualifying liquid resources for the third consecutive quarter
UK banks’ RWAs return to growth
Latest Bank of England data shows first increase since Q1, 2020
Swaps between UK banks and foreign firms up in Q3
Despite latest uptick, gross value of derivatives contracts held by UK banks is 67% below 2008 peak
Spanish regional bank’s CVA charge up 30-fold on SA-CCR
Banco de Crédito Cooperativo saw end-June charges balloon the most year-on-year across a sample of 120 European banks
XVAs and counterparty credit risk for energy markets: addressing the challenges and unravelling complexity
In this webinar, a panel of quantitative researchers and risk practitioners from banks, energy firms and a software vendor discuss practical challenges in the modelling and risk management of XVAs and CCR in the energy markets, and how to overcome them.
HSBC leads systemic banks in cutting derivatives exposures
On aggregate, the top 30 banks shrunk notionals by 7% year on year
Rate of centrally cleared CDSs hits record high
Multi-name products drove increase in first half of 2021
Nomura nets ¥3.8 billion from CVA and DVA gains
Windfall offsets previous quarter’s loss more than three times over
China hints at broader scope with netting law name change
Central bank reportedly behind name change as derivatives rise up political agenda
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
NSCC caught $5 billion short in June
Worst-case losses would have wiped out the CCP’s available liquid resources on two separate days in Q2
RMB house of the year: Standard Chartered
Asia Risk Awards 2021
Phase five margin queues spur calls for custody revamp
Custodians urged to update “antiquated technology” ahead of three-fold jump in phase six initial margin onboarding
BNP hits top spot for FX options
Counterparty Radar: French bank ousts long-time leader Citi as biggest dealer for mutual funds
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
Off-balance-sheet exposures at US systemic banks jump $42bn
JP Morgan, Goldman Sachs and Citi drove the overall increase in the second quarter