Credit risk

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.

CMA today released its Global Sovereign Credit Risk Report for the fourth quarter of 2011, in which it names the top ten most and least risky sovereigns as well as the best and worst performers. 

Nearly all global CDS prices widened during November's volatile period as the Eurozone debt crisis continued, with the region widening 9% overall, indicating the significance of Western Europe to the global economy and the importance of a finding a permanent resolution to the situation.

Key features of this report include:

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). 

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. 

Hancock Holding Company (HBHC), a commercial bank holding company offering personal and business banking services with over US$ 20 billion in assets, has selected SunGard’s Ambit Credit Risk Management solution suite. The bank will use Ambit Credit Assessment for comprehensive credit risk assessment and Ambit Credit Portfolio Monitoring for real-time monitoring of risk across Hancock Holding Company’s various portfolios and sub-portfolios. The solution will help Hancock improve credit risk analytics for enhanced asset quality forecasting.

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

CMA today released its Global Sovereign Debt Credit Risk Report for the 3rd Quarter of 2011, in which it names the top ten most and least risky sovereigns as well as the best and worst performers. 

In an extremely volatile quarter, the credit markets saw a significant rise in the cost of protection across all regions. The market responded to downgrades by rating agencies in the US, Japan and Italy, a slow down of growth in China and Eurozone debt concerns affecting the broader region. Key highlights include: