Derivatives
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
Libor webinar playback: spotlight on bonds
Panellists from Lloyds, RBC Capital Markets and TD Securities discuss efforts to switch to new lending benchmarks
Libor webinar playback: spotlight on loans
Panellists from McKinsey, the LSTA and UBS discuss efforts to switch lending to new benchmarks
Seeing red over blue-chip swap in Argentina’s NDF fiasco
Emta protocol salve aside, peso settlement rate snafu is a warning for emerging market FX derivatives
Pre-cessation Ibor picture gets clearer
As the derivatives market has accepted the impending transition away from interbank offered rates, attention has turned to how best to manage it. Philip Whitehurst, head of service development, rates at LCH, explores how the clearing house is working…
Hedge funds cut short US Treasury futures exposure – CFTC data
Short open interest held by leveraged participants down 23% from 12-month peak