Counterparty Credit Risk
CVA, potential future exposure and wrong-way risk across every trading counterparty
Total PFE Outstanding
$505M
Aggregate CVA Reserve
$14.2M
Counterparties Tracked
64
Wrong-Way Risk Flags
2
| Counterparty | Primary Product | PFE | Credit Line | Utilization | Wrong-Way Risk |
|---|---|---|---|---|---|
| Northbridge Securities | Interest Rate Swaps | $184M | $200M | 92% | WWR Flagged |
| Halyard Global Markets | FX Forwards & Options | $62M | $150M | 41% | Clear |
| Kestrel Prime Partners | Equity Total Return Swaps | $97M | $120M | 81% | Clear |
| Solvay Merchant Bank | Credit Default Swaps | $44M | $100M | 44% | Clear |
| Tideway Capital LLP | Repo & Securities Lending | $118M | $130M | 91% | WWR Flagged |
About This Agent
Data on This Page
Per-counterparty potential future exposure (PFE) against assigned credit lines, primary product mix, and wrong-way risk flags. Stat tiles roll up total PFE ($505M), aggregate CVA reserve ($14.2M), counterparties tracked (64), and open wrong-way risk flags (2).
What This Agent Does
Recalculates PFE and CVA using Monte Carlo simulation across netting sets, monitors credit line utilization in real time, screens new trades for wrong-way risk before execution, and escalates counterparties approaching their assigned limit to the credit risk committee.
Worked Examples
- Northbridge Securities PFE reached 92% of its $200M line after a new 10-year swap, prompting an early warning to the desk.
- Tideway Capital LLP flagged for wrong-way risk — its repo collateral quality is correlated with its own credit deterioration.
- Aggregate CVA reserve rose $1.1M this week following wider credit spreads on three BBB-rated counterparties.