Derivatives
QIS 3.0 ‘bonanza’: hedge funds pivot from options to swaps
Pod-level scramble for max-loss exposure gives way to central risk books seeking overlays
JP Morgan, Eurex push for DLT-driven collateral management
The high-stakes project could be a litmus test for the use of blockchain technology in the capital markets
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
Legal battle over Italian swaps drags on, frustrating dealers
Despite banks claiming victory in London over disputed interest rate swaps, parallel Italian proceedings could delay payouts
Nasdaq leads push to reform options regulatory fee
Proposed rule change would pare costs for traders, raise them for banks and defund smaller venues
Development banks team up for FX hedging push
Banks such as EBRD and World Bank club together to improve emerging market funding tools
AI and Trump tariffs spur hyped-up dispersion trade
Popular vol strategy pays off in January despite highest entry costs on record
TD, Goldman make strides with Ucits in FX forwards trades
Counterparty Radar: JP Morgan AM notional crossed $100 billion threshold in first half of 2024
Margin standards are here – and clearing firms aren’t happy
Clearing members complain that latest transparency proposals would force them to act as middlemen by providing margin simulation tools for clients
Osttra to launch Treasury clearing middleware
Mid-year delivery expected for system that aids credit checking for repo trades
Regis-TR and the Emir Refit blame game
Reporting overhaul was marred by problems at repositories, prompting calls to stagger future go-live dates
Why did UK keep the pension fund clearing exemption?
Liquidity concerns, desire for higher returns and clearing capacity all possible reasons for going its own way
Isda to finalise drafting updated FX definitions this year
New definitions on disruption events and fallbacks are core focus
Rostin Behnam’s unfinished business
Next CFTC chair must finish the work Behnam started on crypto regulation and conflicts of interest
The Emir error reports that cost banks millions
Dealers lambast onerous EU requirement to notify clients of all errors and omissions
Amazon, Meta and Tesla reject FX hedging
Risk.net study shows tech giants don’t hedge day-to-day exposures
Junk-rated CDS clearing rates slid in H1 2024
Shift away from CCPs concentrated in sub-investment grade multi-name products
The path to operational resilience begins with reliability and risk management
The challenges Apac financial services firms face enhancing operational resilience and leveraging data and hybrid cloud
Deep equal risk pricing of illiquid derivatives with multiple hedging instruments
The authors propose the using equal risk pricing for market-consistent valuation of illiquid financial derivatives, transferring information in liquid hedging strategy prices into the price of the illiquid derivative.
RBC’s CVA risk charges swell 42% in first year under FRTB
Bloating RWAs contrast with declines at peers employing new standardised approach
Record share of OTC trades eschews interdealer, CCP channels
More than one-fourth of global notional involves a single dealer and is not cleared, BIS data shows