Bilateral netting
RBC’s credit derivatives book grows fourfold on market-making push
Notionals of credit protection sold and purchased have ballooned 236% and 382% respectively since October 2022
UK banks added OTC notionals in 2018 as EU peers cut back
Barclays, HSBC, Lloyds, Standard Chartered increased notionals by almost €15 trillion
Derivatives up $4.9trn at HSBC in H1
Swollen portfolio could push bank into higher G-Sib surcharge bucket
Eurozone G-Sibs’ swaps notionals fall €9.6trn in 2018
Deutsche Bank’s portfolio shrinks 16% year-on-year
UK G-Sibs add $11trn of OTC notionals in 2018
HSBC added the most derivatives notionals in dollar terms, increasing outstandings by 26%
Derivatives close-out netting nears approval in India
Legislation expected early next year will clarify that local banks can use technique, say lawyers
EBF to update European master agreement
Derivatives and repo docs to be amended in light of new regulations, giving users an EU law option post-Brexit
Dealers grapple with netting valuation adjustments
Some banks are expressing netting uncertainty as a fair value adjustment to CVA
Banks take flexible approach to pricing netting risks
Dealers are adjusting CVA prices, depending on their view of the legal netting opinion
JP Morgan and UBS compress forex books via start-up
NYC-based LMRKTS first broke cover two years ago; third bank participant is unknown
Bilateral compression takes off as banks tackle leverage
It used to mean the tearing-up of perfectly matching trades, but compression has become something bolder and more ambitious in recent months – at the same time, it has also become more confusing, and smaller banks fear they may have the wool pulled over…
OTC Derivatives Clearing Summit Europe: Collateral squeeze is a danger, says buy-side panel
Buy-side firms argue new regulations will create a collateral squeeze – despite claims by a Bank of England official that the fears are overplayed
Bilateral counterparty risk with application to CDSs
Previous research on credit valuation adjustments (CVAs) with correlation between underlying and counterparty default, including volatilities of both, assumed unilateral default risk. However, the crisis prompted counterparties to ask institutions to…