Default risk
As Covid snaps credit models, lenders turn to stress-testing
Banks enlist scenario analysis to bolster creaking default models
Clearing members in cash clash with Apac CCPs
Banks and clearing houses wrangle over who should pay for losses on invested collateral
Eurex members divided over liquidity risk charges
Banks say proposed charge too conservative, debate whether add-on should be charged directly to clients
Interpretability of neural networks: a credit card default model example
Recently developed techniques aimed at answering interpretability issues in neural networks are tested and applied to a retail banking case
European CCPs home to 241 non-bank clearing members
Majority of non-financial counterparties are energy and power firms
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck
JSCC issued ¥486bn VM call in Q3
Estimated largest payment obligation sized at ¥620 billion
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
At US G-Sibs, swap exposures to corporates climb $43bn in Q3
BofA Securities’ exposures to hedge funds plummets following spike in Q1
Ice adds insurance to default waterfall
Protection promises partial recovery of guarantee funds at three CCPs
LCH to cut jump-to-default margin for cleared CDS
Move could bring margin for cleared CDS closer to bilateral trades, but mismatch remains
Frandt or foe? FCMs hit back at Esma buy-side clearing salvo
Esma pushes dealers to publish standardised fee schedules amid clearing capacity fears
Best CVA practices in Japan
At a recent roundtable in Tokyo, banks and regulators discussed progress on credit valuation adjustment (CVA). While, in many respects, the work towards implementing best practices in the country is on track, challenges remain in resourcing and…
Defaults would dent, but not destroy, CCP liquidity buffers
Max payment obligations in event of member default would be sufficiently covered
Borrower default estimates continue to improve at EU banks in Q2
Greek corporate creditworthiness improves the most of 39-country sample quarter-on-quarter
LCH SA on the hook for €32bn if member defaults
Payment obligation, if realised, would wipe out 50% of CCP’s liquidity buffer
Eurex Clearing reports sharp rise in default exposures
Clearing house’s peak same-day payment obligation rose to €5 billion in the second quarter
OCC reports 24% spike in default exposure
Clearing house’s peak same-day payment obligation rose to $5 billion in the second quarter
Ice, CME shore up clearing house recovery planning
Introduction of VMGH and tear-ups comes amid impasse over CCP recovery and resolution rules
On probability of default and its relation to observed default frequency and a common factor
This paper considers a definition of through-the-cycle as independent from an economic state that can result in a time-varying TTC probability of default.
JSCC member default fund contributions fall to ¥676bn in Q2
Default fund contributions shrink 19%, but members’ initial margin payments climb
Clients demand access to CCP default auctions
“In a default, we are comfortable taking on risk and can move quickly,” says DRW’s Wilson
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously