Derivatives
Commerzbank wager swells UniCredit’s modelled RWAs by 62.5%
Total return swaps on German shares inflate VAR and SVAR components
Time running out to backload Emir derivatives reporting
Significant slice of legacy trades still not ready for new formats, as October 26 deadline looms
Low FX vol regime fuels exotics expansion
Interest is growing in the products as a way to squeeze juice out of a flat market
Hong Kong rationalises swaps reporting requirements
Some duplicate fields removed, but framework still more granular than other jurisdictions
EquityClear’s IM concentration hits record high
Membership dwindles as LCH SA continues to wind down service
ECB official leaves door open to liquidity aid for non-banks
Risk Live: Deputy director doesn’t rule out copying UK plan to extend repo facility to pension funds and life insurers, but no imminent plans
UniCredit slashes CCP exposures by nearly 40% in a year
Lower exposures at default for exchange-traded derivatives the main driver behind overall drop
Pricing and valuation systems 2024: market and vendor landscape
This Chartis report evaluates the comprehensive landscape of pricing and valuation systems, considering the unique demands of different financial assets, as well as their market dynamics and interdependencies and the technological architecture…
Indian initial margin launch brings operational headaches
Conglomerates with multiple entities trading derivatives pose compliance challenges for dealers
ASX member paid record $154m to cover dues in Q2
Single-member largest payment obligation beat 2015’s high by 40.8%
Energy Risk Asia Awards 2024: The winners
Winning firms adapt to change with exemplary risk management skills
Finland’s Ilmarinen goes back to basics
Talking Heads: Once one of the few funds that would enter bank risk recycling trades, recent overcrowding has seen it pivot to listed equities
Avon CDS holders win payout despite narrow debt auction
With swap volumes outweighing eligible deliverable debt, holders feared contracts could be worthless
IM requirements at LCH ForexClear hit record high in Q2
Latest figures show a 32% increase quarter on quarter to $10.7bn
JPM’s EU arm outpaced bloc’s top dealers on OTC derivatives in 2023
A 30% surge in notionals coincided with a departure from central clearing
SGX-DC’s prefunded resources short of stressed losses 37 days in Q2
Latest round of shorftalls linked to double-member default lay bare lack of Cover 2 requirement
How Risk.net’s robots unlocked Ucits trade data
Machine learning tool helps reveal the largest European derivatives users – and who they trade with
Could Trump presidency herald $27bn margin call on World Bank?
Think-tank’s policy plan to pull US out of multilateral threatens AAA rating, ending collateral exemption
UBS Americas’ clearing rate dips post Credit Suisse integration
US arm of Swiss bank cleared $47bn in notionals in the second quarter, the lowest since end-2021
Derivatives pricing with AI: faster, better, cheaper
Pascal Tremoureux, head of quantitative research at Murex, describes the firm’s mission to replicate derivatives pricing models through machine learning – slashing time and costs in the process
More disclosure touted to temper pre-hedging ills
Transparency could help investors choose a dealer, but will they use the disclosures?