Derivatives
UBS cuts liquidity valuation adjustments to record low
Bank lowered bid-offer fair value discount to reflect current levels of market liquidity
Client margin at Barclays hits record $27bn
Required funds rose 13% for F&Os and 8% for swaps in August
Pensions regulator plays down LDI risk to EU
Eiopa doubts UK gilt market chaos could occur to same degree in Europe
UK pension funds rush to dirty CSAs
Fearing margin pain once BoE gilt-buying ends, funds fast-track revisions to post gilts and corporate bonds
New investor solutions for inflationary markets
Geopolitical risks, price volatility, clashing cycles, higher interest rates – these are tough times for economies and investors. Ahead of the 2022 Societe Generale/Risk.net Derivatives and Quant Conference, Risk.net spoke to the bank’s team about some…
SA-CCR’s sacrifice: who stands to lose from new capital rules
Risk.net research shows the potential for dealers to be left at a disadvantage to their foreign rivals
Sterling interest rate ETDs plummet 28% in Q2
Investors cut open interest in futures and options contracts as crises piled up
Quant house of the year: Crédit Agricole CIB
Asia Risk Awards 2022
Credit derivatives house of the year: Credit Suisse
Asia Risk Awards 2022
Derivatives law firm of the year: Linklaters
Asia Risk Awards 2022
RMB house of the year: Standard Chartered
Asia Risk Awards 2022
Derivatives house of the year, Asia ex-Japan: Societe Generale
Asia Risk Awards 2022
Interest rate derivatives house of the year: Standard Chartered
Asia Risk Awards 2022
Derivatives exchange of the year: SGX
Asia Risk Awards 2022
Virtus, FT boosted sold single-stock calls amid Q2 contraction
Counterparty Radar: US mutual fund managers cut $4.3 billion in individual equity options
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
House of the year, China: CICC
Asia Risk Awards 2022
Automatic implicit function theorem
New technique can improve use of adjoint algorithmic differentiation in calibration problems
Nomura’s swaptions volume jumps in Q2 on Pimco trades
Counterparty Radar: Japanese bank triples size of US mutual funds book despite market contraction
Lag in the SOFR-linked non-linear derivatives market: three barriers to transition
Risk.net explores three themes in SOFR non-linear derivatives discussed by experts in a webinar sponsored by Numerix
European pension funds must start clearing next year – EC
Exemption preventing pension funds from mandatory clearing will come to an end permanently in June 2023
HSBC claims top FX forwards spot as US banks fall back
Counterparty Radar: Morgan Stanley slips for first time since Q2 2021 amid wider volume decline
Bypassing consent may aid CCP porting – report
CPMI-Iosco report says clearing houses cannot reasonably accommodate client preference; brokers favour rule book harmony
XVAs boost Helaba trading income but inflate hedging costs
Expense from non-trading hedges reaches highest since at least 2016