Derivatives
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
CFTC plan to relax MMF margin restriction sparks debate
Industry welcomes proposal to lift ban on repo-using funds as eligible IM, but some warn MMFs bring risks
JPM’s new EU arm is bloc’s 4th largest derivatives bank
Frankfurt-based dealer eclipsed homegrown G-Sibs in 2022 on several indicators
Managing Japanese interest rate risk and creating trading opportunities
With an anticipated rise in Japanese interest rates, 3-Month TONA Futures have attracted the interest of investors worldwide since debuting on the Osaka Exchange (OSE) in May. Kensuke Yazu, general manager for derivatives business development at OSE,…
Goldman’s Marquee is a gradual revelation
Multiple apps are being corralled into a sticky cross-asset ecosystem, updated with Python and cloud
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
Derivatives valuation swings lop $2.4bn off BofA’s income in Q2
DVAs and markdowns on fair-value hedges return to drag on dealer’s revenue
Hedge funds turn to exotics for EM carry trades
Traders eye dual digitals to cheapen up carry plays
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
Deutsche Bank’s swaptions trading with US retail funds soars
Counterparty Radar: Space grows 6% in Q1 as Citi’s book of business also surges
MassMutual maintains lead in IR swaps market for life insurers
Counterparty Radar: Bank of America heads dealer rankings as sector’s notional drops 1%
The battle to stop energy markets boiling over
European CCPs and supervisors join call for changes to mitigate any repeat of last year’s crisis
IR swaps market for US funds rebounds in Q1
Counterparty Radar: Notional traded by mutual funds, ETFs bounces back to early-2022 levels
UK pension fund buyouts frustrated by ‘dirty’ CSAs
Contracts allowing schemes to post corporate bonds as collateral are obstructing risk transfer to insurers
SA-CCR charges surge at BNP Paribas and ING
Dealers’ RWAs rise combined €3.1bn in volatile Q1, among biggest quarterly jumps since SA-CCR’s EU debut
Top EU banks’ OTC derivatives climbed 12% in 2022
All but two dealers report higher notional amounts, led by Crédit Agricole
A three-point turn in derivative design
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring
Citi’s CVA charge up 7% in Q1
Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
US life insurer index options market hits $1trn mark
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increase
D-day for the rates market: solving the outstanding issues in US Libor transition
The next months will determine how rates markets cope with the death of Libor. With transition efforts approaching D-day, experts discuss the issues facing the market, the progress made so far and the outstanding issues facing the ‘new look’ rates market…
Information geometry of risks and returns
An innovative product design framework and its geometric interpretation is introduced
SVB salvage lands First Citizens with $18bn of FX contracts
Bank now holds seventh-largest stack of non-trading currency derivatives in the US