Derivatives
Bargain-hunting equity hedgers turn to FX
Currency options are cheap relative to stock index puts, but correlations are uncertain
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Derivatives house of the year: Macquarie Group
Energy Risk Awards 2020: Firm’s wide commodities presence, physical and financial risk expertise and financing capabilities result in standout deals
Libor Risk Q&A – Murex
Alexandre Bon, Group co-head of Libor and benchmark reform, and head of marketing and strategy, Asia‑Pacific, at Murex, discusses key industry concerns around the transition away from Libor, including how the discontinuation deadline will be impacted by…
Bond-CDS basis keeps investors interested
Difference between cash bond spreads and derivatives tightens but still offers value, dealers say
EU banks expect further margin reprieve for equity options
Exemptions for intra-group and equity options from non-cleared margin rules expire by January 2021
Libor webinar series – Liability-driven investment fund managers and investors
Nobody knows what will happen to Libor at the end of 2021, but the market has to be ready for anything – including the benchmark’s demise. This continues to be the message from regulators, despite the havoc caused by the Covid-19 pandemic. The coming…
Equity derivatives aided BlackRock funds in March
Flagship Strategic Income Opportunities fund posted $253 million in net derivatives gains at height of Covid crunch
Prudential filters crimp some banks’ own funds, boost others
Two banks saw CET1 climb more than 5% at end-2019 through the EU’s valuation adjustments
Key steps in the transition to SOFR
Phil Whitehurst, head of service development, rates, SwapClear at LCH, offers his insight into when a term structure for the secured overnight financing rate (SOFR) is likely to be established, what will be required for this to become a reality and what…
Deutsche insists Covid-19 won’t derail ‘bad bank’ wind-down
Lender actively seeking buyers for remaining derivatives portfolios ahead of 2022 target, says CRO
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
Banks tout early roll dates for FX swaps as quarter-end looms
Asset managers open to more flexible hedging strategies since March turbulence, say dealers
CVA capital charges jumped 50% at systemic US banks in Q1
Goldman Sachs’ charge climbs 76% quarter-on-quarter
The Libor countdown – Focusing on derivatives and the impact of Covid-19
Considering the Libor transition is beyond the halfway stage, staying current with updates, information and insights are crucial to organisations’ preparation efforts. When it comes to derivatives, the route to the finish line is not evenly paved, but…
Interest rate swaps powered Q1 derivatives boom at top US banks
Rate derivatives notionals increase 22% quarter-on-quarter
Switching CCP – How and why?
As uncertainty surrounding Brexit continues and the impacts of Covid-19-driven market volatility are analysed, it is essential for banks and their end-users to understand their clearing options, and how they can achieve greater capital and cross…
A tale of two (or three, or four) models
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
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