Counterparty Risk

Major regulatory changes, evolving market structure and funding challenges are making capital efficiency more imperative. Against this backdrop, the economics of derivatives and cash activities are being reshaped. OpenLink's Mark Abrams explains how a holistic approach to risk management — especially in regard to counterparty risk and collateral management — can play a pivotal role in improving your firm’s efficiency and maintaining its competitiveness.    

Growing complexity in managing collateral resulting from new CCP collateral requirements and regulatory reform is driving buy-side firms to consider outsourcing the back office function to custodians. DerivSource’s Julia Schieffer speaks to the custodians about how they are enhancing collateral management service offerings to support new needs of clients in a new marketplace.

SunGard has enhanced its Stream Fail Monitor solution, part of its Stream suite of post-trade solutions, to help financial services firms comply with the expansion of the Treasury Market Practice Group (TMPG) penalties to apply to mortgages and agency debt fails.

Under the latest TMPG recommendations, firms will be penalized for any fails related to mortgage and agency debt transactions. The fees will go into effect on February 1, 2012. The TMPG recommendations are currently limited to U.S. Government Treasury securities.

The Basel Committee today issued a consultative document on the application of own credit risk adjustments to derivatives.

The counterparty credit risk exposure of 12 US bank holding companies and international banking companies to monoline insurers has led to some $54 billion in write-downs by the banks since 2007, according to a new analysis by the International Swaps and Derivatives Association, Inc. (ISDA). 

The Basel Committee issued today its second consultative paper on the Capitalisation of bank exposures to central counterparties.

The Committee's proposals relate to the capitalisation of bank exposures to a central counterparty (CCP) and cover both capital requirements for default fund exposures and trade-related exposures to CCPs. The Committee will finalise the rules around year end and expects that they will be implemented in its member jurisdictions by January 2013.

International bank aims to lower counterparty risk and optimize capital via automated collateral management solution

Omgeo, the global standard for post-trade efficiency, today announced that Nordic Investment Bank (NIB), an international financial institution of the Nordic and Baltic countries, has selected Omgeo ProtoColl®, an end-to-end collateral management solution for their over-the-counter (OTC) derivatives trades. The firm implemented and went live on the solution in less than three months. 

ATB Financial (ATB), a leading Canadian full-service financial institution, has selected SunGard’s Adaptiv Riskbox and Collateral solutions to help manage counterparty credit exposure and respond to demand from across the business for greater transparency and efficiency.ATB has been managing the desk level risk of its derivatives book on the Adaptiv platform since 2006. As the industry becomes more sensitive to the possibility of counterparty defaults, firms are using netting and collateral to mitigate the effect of a default.

Moody’s Analytics Launches Through-the-Cycle Probability of Default Measure

New credit risk measure to address needs of institutions dealing with regulatory capital requirements

Algorithmics, the leading provider of risk solutions, announced today that Société Générale Corporate & Investment Banking (SGCIB) has chosen to work with Algorithmics, to develop a counterparty credit valuation adjustment (CVA) solution that the CVA desk will use to actively price and manage counterparty credit risk (CCR) across all asset classes.