Derivatives
Survey: FX swaps e-trading sees greater client sophistication
BofA study shows increasing electronic trading of derivatives as users embrace MDPs and APIs
Derivatives trading halved amid CrowdStrike tech outage
With broker screens offline, G3 rates derivatives volumes plunged versus a normal Friday
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC
DCOs show resilience beyond key default thresholds – CFTC
Reverse stress test reveals clearing houses remain resilient under low to moderate market shocks
Can Citi’s XVA desk help solve risk data failings?
Resolution plan reviews exposed material limitations in banks’ ability to unwind derivatives
FX options’ MDP migration
Volumes on multi-dealer platforms are climbing, but dealers warn pricing may not be optimal
Premialab adopts CDM for QIS swap booking
Vendor selects open source data model to power expansion in growing systematic index market
Asia moves: Senior hires at HKEX, UBS and more
Latest job news from across the industry
Hong Kong looks for digital response to trade reporting burden
New swaps reporting framework will include more fields than requirements in US or Singapore
RBC’s CVA capital charge up 22% since FRTB adoption
Bank eschewed revised standardised approach in favour of simpler yet constraining formulas
Breaking with Behnam: inside the dysfunction at the CFTC
Policy and personality clashes have left the chairman isolated and slowed rulemaking activity to a crawl
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Continued decline of the one-stop shop
Dealer Rankings 2024: Only two banks make the top 10 across all rankings tables – others have focused on vertical dominance
Often fluid. Not always liquid
Dealer Rankings 2024: On the buy side and the sell side, the make-up and depth of OTC mini-markets can change rapidly
Skylight finds an opening in consensus pricing
Service provider claims key factors differentiate its own offer from the market leader’s
The squeezing middle: data shows Europeans taking on US foes
Dealer Rankings 2024: Barclays, BNP Paribas and Deutsche grab bigger share of the pie
Cleared rate for CDSs dropped in H2 2023
Record five-percentage point decline driven by multi-name contracts
OCC introduces new intraday risk charge covering zero-day options
Revised measures “a nightmare” to implement, says one broker-dealer
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
Isda pushes to ‘decouple’ Simm calibration from model changes
Emir 3.0 prompts effort to separate risk-weight revisions from methodology updates
Sustainable bond markets miss an options trick
A derivatives mindset could boost lagging sustainability-linked market, argues climate think-tank
Citi halves swaptions book with US retail funds
Counterparty Radar: Mutual funds and ETFs cut exposures by 22% in Q4
Market for ‘orphan’ hedges leaves some borrowers stranded
Companies with private credit loans face punitive costs from banks for often imperfect hedges