Hedging
Goldman’s unmatched sold credit protection up 15% in Q3
Written notionals not hedged by buying identical protection on riskiest names jumped 85%
Corporates look to tackle unhedgeable inflation indexes
As inflation risks mount for corporates, some are finding their exposures are linked to niche indexes
New benchmark to give Philippine peso swaps a fillip, post-Isda add
Isda to include new PHP overnight rate and Indonesia’s Indonia in its next definitions update
Rates movements boost FX net investment hedging
Changing differentials bring more positive carry opportunities for corporates
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