Commodities
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
Derivatives house of the year: BNP Paribas
Risk Awards 2023: Betting on an equities expansion and rates re-org delivers early win for global markets
Goldman’s VAR drops 20% in Q4
Retreat led by commodities and interest rate risk
Review of 2022: Fighting on all fronts
Macro headlines unleashed micro-horrors, as margins soared, correlations cracked and crypto markets imploded
Ice Europe made $7.8bn VM call in Q3
Highest cash call on record triggered by higher commodity prices as Europe energy crisis persists
EC urged to reconsider TTF price cap
“Heated” discussion among European energy ministers throws planned safeguards into further chaos
Energy Risk Asia Awards 2022
Recognising excellence in energy risk management
The FCM model is not dead yet
Delivery risk means algos should never supplant humans in commodity futures markets, argues exchange executive
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
Market shrugs off EC’s plan to change gas benchmark
Dutch TTF prices unmoved, as market participants say they are “not taking it seriously”
EU plan to suspend power derivatives gets icy response
Proposal from energy ministers to ease collateral burdens blasted as “silly” and “terrible idea”
Esma to meet with clearing industry over EU energy crisis
Widening eligible collateral on table; ECB intervention would need government indemnities
Banks shock commodities by 1,000% in stress-test rethink
Energy price spikes force clearing firms to consider extreme or even ‘implausible’ scenarios
ION Commodities: spotlight on risk management trends
Energy Risk Software Rankings and awards winner’s interview: ION Commodities
FCMs brace for ‘tough winter’ of energy market disruption
Banks stress-test clients, add big margin multipliers to insulate against risk of 100% price moves
ION Commodities puts customer engagement at the heart of its business
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Commodities surge presents UMR test for Asia’s sell side
Increased interest in commodity exotics comes amid scrutiny of margin calculation models
Energy firms call for rise in commodity clearing level
Industry says proposed €1 billion increase would not be enough following spike in wholesale prices
Concentration risk add-ons too low at Ice and ECC, says regulator
Results of European stress test suggest shortfall of collateral for large commodities positions is equivalent to 17% of total required margin
Commodities threaten pain for initial margins
Market volatility and spot-based Simm approach may drive large margin spikes in little-tested asset class
Op risk data: Glencore hauled over the coals in $1bn+ bribery probe
Also: Russian banks in fraud fails; Citi’s fat-finger fumble; devil’s in the data detail. Data by ORX News
Clearing industry braces for volatility ‘super-cycle’
Green transition may fuel higher cash demands and more risk events, FCMs warn
LME tear-up may have averted ‘multiple defaults’ – CEO
Decision to cancel nickel trades on March 8 forestalled ‘unprecedented’ margin call, argues exchange chief