Derivatives
JP Morgan appoints two new equities quant research co-heads
New heads will share responsibilities previously held by deep hedging pioneer Hans Buehler
EU pension fund clearing exemption set to be extended
Extra 12 months’ grace from mandatory swap clearing, but some fear effect on EU CCP liquidity growth
Euro, Swiss swaps trading jump on rate hike chatter
Highest weekly volumes since at least 2020 as ECB and SNB gear up for policy change
SwapClear incurs record number of margin breaches
LCH’s interest rate derivatives clearing service reported over 4,000 backtesting exceptions in Q1
FTX proposal could prompt wider clearing changes
FCMs say current clearing structure could end up adopting parts of crypto exchange’s novel approach
Is DLT post-trade a solution without a problem?
Sources question landmark projects' ability to use technology at scale as further delay besets ASX deployment
Coded swaps reporting plan delights some, but not all
Cost-busting code for swaps reporting could be tricky if banks lack internal standardisation
CDS notionals made a comeback in 2021
A 5% rise to highest end-year figure since 2017 driven by swaps on junk debt
Benchmark challenges inhibit crypto adoption
Without authoritative reference pricing, users may struggle to value assets and assess execution, traders say
FTX’s ‘easy-access’ clearing stokes fears over runaway risk
Crypto exchange will auto-liquidate underwater positions, which critics say could fuel a death spiral in prices
Eurex wants regulators to do more to kick-start EU clearing
Around half the end-user accounts opened at the CCP after Brexit remain dormant
Derivatives exposures take toll on Japan leverage measure
Leverage ratios at Mizuho, SMFG and SMTH hit multi-year lows
Locals give cautious welcome to exotics’ passage to India
Corporates still wary about structured derivatives five months after lifting of trading ban
Banks eye ‘nirvana’ in machine-executable swaps reporting
Coded reporting requirements to save banks “millions” in compliance costs
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
UniCredit takes 92bp core ratio hit as Russian risks bite
Italian lender books €1.2bn of provisions, €9.5bn of new RWAs
Comprehensive technology overhaul for the world’s largest equity derivatives clearing house
In this podcast, Zoi Fletcher speaks to Scot Warren, chief operating officer at OCC about the advances brought about by its technology overhaul
Nordea’s CVA charge jumps 30% in Q1
Highest reading for the Finnish bank since the start of 2019
Basel rules mean banks can’t compete with Coinbase – Goldman
Proposed 1,250% risk weight for crypto holdings undercuts banks’ push into burgeoning market
UBS settlement risk up 238% as sanctions snag Russia trades
Held-up and failed counterparty transactions add almost $1bn to RWAs
Banks face conduct risk threat as term SOFR trading grows
Trades linked to forward benchmark at risk of falling foul of strict client hedging remit, lawyers warn
JP Morgan takes $524m XVA loss on nickel, Russia trades
Margin calls, markdowns and rising funding costs result in biggest XVA loss since early 2020
Emission impossible? Why voluntary offsets may not be scalable
As finance looks to shape decarbonisation in its own image, critics wonder if its efforts are misplaced
Initial margin – Special report 2022
This Risk.net special report comprises a series of articles that explore the latest developments and key issues emerging in phases five and six, and charts the changing strategies for firms in meeting their initial margin (IM) responsibilities