Derivatives
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Margin calls on eurozone funds rose fivefold in March
ECB data shows some funds faced liquidity squeeze as VM calls flooded in
EU banks predict OTC trading terms will tighten – ECB
Almost one-quarter of surveyed lenders say conditions will deteriorate
Swaps books of top US dealers bulged in Q1
Citi increased derivatives exposures by $25.5 billion quarter-on-quarter
Experts find holes in funds’ argument for higher US VAR caps
Ex-SEC official says he would be “shocked” if agency raised proposed leverage limits on derivatives users
ING hit by €92m XVA loss
Credit trading business tagged for trading losses
Managing and mitigating operational risk in the Libor transition
In this webinar, industry experts discuss how, in the lead-up to 2021, firms are preparing for the operational implications of the Libor transition? They explore how their firms are adapting to alternative reference rates and mitigating the operational…
Extreme volatility – Rising to the fair valuations challenge
Capital markets firms of all sizes continue to grapple with the challenge of developing fair valuations for the illiquid and hard-to-value securities they hold. While this scenario isn’t likely to be resolved anytime soon, there are specialist providers…
Crédit Agricole, Natixis, UniCredit pummelled by XVA losses
Top banks take combined €207 million hit from valuation adjustments
China commodities regulation: time to end the turf war
Mishmash of regulations still govern China’s financial industry
UK banks’ derivatives books shrunk at year-end
The gross fair value of portfolios declined 22%
NatWest Markets’ CVA reserve swells £136m
Funding benefit and debit valuation adjustment help offset derivatives charge
XVAs take $346m bite out of HSBC’s trading profits
Derivatives valuation adjustment impact pushes trading profits down 49%
Credit Suisse takes $51m derivatives hedging loss
Net trading revenues down 47% on year-ago quarter
The SABR forward smile
Thomas Roos presents the expressions for the implied volatilities of European and forward starting options
At Bank of America, trading revenues get a $300m DVA boost
But credit and funding valuation adjustments deducted $492 million from other income
Managing a derivatives portfolio through turbulent markets
Steering a portfolio of non-linear derivatives, such as options and more exotic products, is challenging at the best of times. Market risks change as markets move and time passes, risks offset in complex ways and proxy hedging is common. In this feature,…
JP Morgan takes $951m XVA hit
Funding spread widening blamed for majority of Q1 hit
Eurex seeks Hong Kong clearing licence
Bourse has Greater China in its sights after Japan and Singapore licences approved
Shale firms pump hedge books for liquidity lifeline
Lucrative hedge portfolios offer promise of cash but unlocking residual value won’t be simple
Libor webinar playback: spotlight on derivatives
Panellists from Deutsche Bank, LCH, Numerix and Tradeweb on transition timelines, volatility and discounting
Uncleared margin – The changing needs of buy-side firms
Raf Pritchard, head of triResolve, discusses the initial margin calculation and collateralisation challenges for firms coming into scope under phases five and six of the uncleared margin rules
FX vol revived by Covid-19 – but for how long?
Traders split on whether virus impact, or central bank responses, will prove most powerful