Counterparty
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
StanChart’s CVA charge up 19% in Q2
Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
Jumbo trades propel BNPP, TD up forwards rankings
Counterparty Radar: In Q1 2021 data, outsiders are eating into US banks’ business with domestic funds
Renminbi splurge lifts BNPP, MSIM in Q1 options data
Counterparty Radar: Morgan Stanley IM is largest options user, following series of huge renminbi calls
Cleared portfolios surge at EU G-Sibs
Systemic banks post highest share of cleared trades in seven years, as IM phases five and six approach
Banks lure FX algo sharks into shallow waters
Sick of losing out to predatory HFTs, dealers are trying to create liquidity pools they can trust
EU ‘unlikely’ to force swaps relocation – ex-MEP Swinburne
Multinational corporates would resist clearing move if CCP equivalence is lost, says former lawmaker
UBS revises credit and counterparty risk estimate
Changes to the bank’s models and methodology expected to add $6bn in second half of the year
Tackling the Basel III SCRA data challenge
Fitch Solutions examines how a more granular and sensitive approach to credit risk under 2023 Basel III updates will increase the quality of counterparty assessments, but create additional compliance costs for banks
NSCC caught $600m short during meme-stock frenzy
Worst-case losses would have wiped out the CCP’s available liquid resources on one day in Q1
Turning challenges into solutions
With margin requirements a potential drain on financial resources, delivering healthy returns while meeting regulatory obligations is paramount. To help participants optimise more of their risk, Varqa Abyaneh, chief product officer, Quantile, discusses…
UK banks interest rate swap exposures fall £711bn
Credit derivatives exposures bucked the downward trend, growing 16% quarter on quarter
Credit risk exposures shrink share of top UK banks’ RWAs
Barclays reported the biggest drop, both on a quarterly and yearly basis
UK derivatives market accelerates decline
The bulk of the quarterly reduction came from swaps held by UK banks with cross-border counterparties
Market fragmentation – The impacts of multiple rates and conventions
A forum of industry leaders discusses key developments in benchmark reform, and the strategic, operational and technological challenges involved in Libor transition
The Texas freeze and future calamities – How to build business resiliency in the face of disruption
Adverse weather in February stressed the Texas power grid to the point of failure, leaving millions without power and resulting in many firms filing for bankruptcy. While this event had some unique circumstances, extreme events are becoming more frequent
Yen swaps users stuck in clearing Catch-22
Lack of access to client clearing at JSCC poses problems for US buyers of Japanese government bonds
Initial margin at Ice CCPs surged over 2020
Required IM at Ice Clear US increased 42% year on year
The cost of hedging XVA
HVA is framed consistently with other valuation adjustments
Approaching the endgame – What’s left for completing Libor transition?
Philip Whitehurst, head of service development, rates at LCH, discusses the International Swaps and Derivatives Association’s 2020 Ibor fallbacks protocol, its relevance for cleared swaps, remaining transition steps and major developments to look out for…
Margin rules snare FX options users
US banks forced to post margin on ‘naked’ trades, with buy-side firms soon to follow
Fine margins – Integrating risk and IM costs under new CCP risk models
This white paper, based on the findings of a Risk.net survey commissioned by Nasdaq, assesses market participants’ efficiency in managing risk, margin and collateral amid increased volatility, and the transition to new central counterparty risk…
Client engineering of XVA
A client’s guide to reducing XVA in times of need