Hedging
Quants dive into FX fixing windows debate
Longer fixing windows may benefit clients, but predicting how dealers will respond is tough
How the rate hike cycle emboldened banks’ deposit modelling
But just because depositors didn’t react quickly doesn’t mean it will never happen
Forward thinking: banks adapt P&L markout tools for FX forwards
Dealers modify market impact measurement to get better handle on profitability – and client value
Markdowns on Japan Post Bank’s domestic bonds widen 50%
Unrealised losses on JGBs-dominated book compounded by out-of-the-money foreign-bond hedges
Ruled out: can regulators settle the pre-hedging debate?
Market participants are at odds over the practice and whether regulation or principles can settle the score
Cable basis set to shrink as pension buyouts dwindle
BoE rate cuts and tightening US credit spreads expected to further normalise the sterling-US dollar cross-currency basis
More disclosure touted to temper pre-hedging ills
Transparency could help investors choose a dealer, but will they use the disclosures?
Deutsche curbs CVA charges to record low
Addition of hedges in Q2 helps cut RWAs by 26%, outpacing other European banks
Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
Credit options notional for top US dealers soars 45.3%
Investor demand for puts and calls drives balances near Q1 2022 record
Iosco delays pre-hedging consultation to November
Review into controversial practice splits industry
After the selloff, competing theories on dealer gamma
Tier1 Alpha sees $74 billion short gamma catalyst; SG says rapid return to positive territory had calming effect
CVA sensitivities, hedging and risk
A probabilistic machine learning approach to CVA calculations is proposed
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
EU banks hedge net interest income to pass new IRRBB test
Would-be outliers look to cut sensitivity of cashflows to rate moves, but at what cost?
RBI’s structural FX charges climb on unhedgeable ruble
Trading-book RWAs under the standardised approach have soared 234% since Ukraine invasion
Keys to the kingdom: FX dealers open doors to passive trades
Banks provide entry to internal exchanges and principal trading desks
Bank treasuries should help monitor hidden optionality – JPM exec
Risk Live: JP Morgan ALM structurer calls for greater treasury involvement in product design
Shocks to the system: how Basel IRRBB update affects new EU test
Disclosures suggest more banks will be classified as outliers on net interest income assessment
RBC’s CVA capital charge up 22% since FRTB adoption
Bank eschewed revised standardised approach in favour of simpler yet constraining formulas
Banks, vendors mine AI for corporate FX hedging
New machine learning algos can help corporate clients adjust hedging ratios, but tech’s effectiveness is limited by data quality, experts caution