Derivatives
Esma still wants more tools to tackle clearing crises
Even after Emir 3 draft, EU regulator would like more powers over both foreign and domestic CCPs
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
SA-CCR lobs $3.6bn onto DBS’s RWAs
New approach’s 1.4x multiplier meant capital charges for derivatives surged last year
Ion: after the hack, the clean-up
Some clients now using Ion systems again, but synchronising data with CCPs could take days
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
EBS ventures into crypto market with upcoming NDF
The move could be a big step forward for mainstream adoption of crypto NDF trading
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
Derivatives house of the year: BNP Paribas
Risk Awards 2023: Betting on an equities expansion and rates re-org delivers early win for global markets
US retail funds further slash repo borrowing
Counterparty Radar: Manager activity in Q3 2022 lowest in nearly three years; BofA surpasses JP Morgan as top dealer
Franklin Templeton takes single-stock options top spot
Counterparty Radar: Market for US mutual funds and ETFs expanded by $4 billion in Q3
Capital Group spearheads mutual fund trim of IR swaps books
Counterparty Radar: Manager cut 70% of its position in Q3 as space shed roughly $174 billion in holdings
PGIM cuts corporate CDSs as US funds shed volume
Counterparty Radar: Morgan Stanley retains top dealer spot in single-name CDS trades for mutual funds
Merrill Lynch hoovered up $1.5bn of client margin in October
Required funds for F&O rose 66%, bucking trend across major FCMs
Booming US fund swaptions market boosts Morgan Stanley
Counterparty Radar: Nomura cements position as leading foreign-owned dealer in the space
Capital Group, Pimco lead tilt to bought index CDSs
Counterparty Radar: US mutual funds added $7.8bn of bought protection, growing sector to $169bn in Q3
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
Client margin up 4% at Barclays’ swaps clearing unit
US unit of UK bank became sixth FCM by share in October
US mutual funds abandon inflation swaps
Counterparty Radar: Volumes dropped to new lows in Q3 as price expectations cooled
FTX’s Mifid licence exposes Europe’s regulatory gaps
Could Cyprus have spotted the warning signs before handing FTX the keys to European customers?
Asia moves: Citi and Deutsche Bank make senior hires, and more
Latest job news across the industry
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Morgan Stanley regains FX forwards top spot
Counterparty Radar: US bank dethrones HSBC, which slipped to fourth in Q3
OTC clearing rebounded at G-Sibs in 2021
Trend reverses as bilateral settlement of OTC derivatives loses previous year’s gains