Standardised approach to counterparty credit risk (SA-CCR)
No need for repo clearing ‘cannon’ in Europe, says industry
Observers question rationale for a clearing mandate, calling for clearer incentives
Basel stops short on wrong-way risk
New guidelines a step in right direction, but experts warn they won’t prevent another Archegos
Bridging the gap risk reloaded: modelling wrong-way risk and leverage
A model extends the counterparty risk calculation to include nonlinear and complex portfolios
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
As FCMs dwindle, regulators fear systemic risk
Panellists highlight dangers of clearing membership becoming more concentrated
Standardised FRTB leaves banks befuddled on residual risk
Benchmarking exercises find “weak consensus” among banks over notional values for exotics
Dealers inch closer to clearing of FX forwards
LCH’s ForexClear aims to ease capital charges and margin constraints on banks, but will it kick-start clearing?
SA-CCR charges double at OCBC in Q3
Singaporean bank’s counterparty credit risk up 28% to multi-year high
State Street and Northern Trust offload riskless assets in Q3
Combined $40bn plunge sees both banks hit four-year lows
FX HedgePool launches all-to-all FX swaps matching
P2P platform starts daily matching and opens up to banks, hedge funds and ECNs
Can CCPs provide a port in a storm for securities lending?
Basel III, T+1 and EquiLend scandal all incentivise clearing, but also disintermediation
Roll up for the BoE’s counterparty mystery tour
Letter warns of cross-currency repo risks, but they didn’t feature in Archegos or LDI blow-ups
US Basel endgame hits clearing with op risk capital charges
Dealers also fret about unlevel playing field compared with requirements in the EU
Norinchukin’s RWAs up 21% as Basel III formulas react to market volatility
Market charges up 230% in harsh test of new standardised approaches
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
US banks eye collateralisation to tackle SA-CCR costs
Dealers are asking asset managers to post margin on their FX swaps and forwards to offer more competitive prices
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
SA-CCR lobs $3.6bn onto DBS’s RWAs
New approach’s 1.4x multiplier meant capital charges for derivatives surged last year
Was Archegos default a one-in-a-million event?
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
FX Smart Clearing at LCH ForexClear: solving SA-CCR capital challenges
LCH ForexClear explores how, with the standardised approach to counterparty credit risk increasing the capital requirements of banks’ FX portfolios, its FX Smart Clearing solution can reduce capital burden and achieve additional savings for members
Living with SA-CCR, one year on
Collateral agreements and FX futures may be some of the ways to tackle increased capital costs