Derivatives
EU insurers increase derivatives holdings
Greater interest rate swap values push up interconnectedness risk of insurance sector
At Apple, derivatives notionals top $178bn
Credit loss amounts rocket on rate and currency fluctuations
Top five clearing members dominate CCPs
Thirteen of 25 clearing services surveyed have 50% or more open positions in hands of top five members
EU council dials back on margin haircuts for CCP resolution
Lawmakers close avenues for regulators to dip into non-defaulting members’ initial margin
Hedge funds levered up in 2018
Relative value funds have highest adjusted leverage, at 7,155%
Derivatives expand share of EU bank assets in Q3
Valuation effects likely behind consecutive quarter increases in these instruments’ portfolio share
Swap books swell at UK banks in Q3
Gross derivatives assets with non-bank financial firms up 39%
Ready or not – a low-carbon economy is coming
Government and business must avert disorderly move away from fossil fuels, says Geneva Association’s Maryam Golnaraghi
Loosening ties, pt 1: how US G-Sibs cut intra-system assets
Goldman Sachs reduced links with other financial firms the most in Q4 2018
Singapore’s banks eye LCH membership
London CCP’s move to clear for stranded SGX clients pays off, amid broader Apac membership push
Leaked email reveals new assault on CCP open access rules
Largest group in European Parliament wants to shoehorn delay into crowdfunding legislation
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Will uncleared margin rules change the FX landscape?
As the next phases of uncleared margin rules come into force, there will be an economic driver for more clearing of FX. By Phil Hermon, Executive Director of FX Products at CME Group
Germany scrambles to shut the door on Mifid open access
Finance ministry will face fine timing to reverse clearing rule during its EU presidency
EU derivatives markets highly concentrated
CCPs hold 41% of interest rate derivatives notional exposures
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck
How pre-trade IM calculation can optimise and reduce collateral drag
With firms under pressure to make their systems compliant with uncleared margin rules (UMR), the increase in margin requirements has put further strain on the availability of high-quality liquid assets. Mohit Gupta, senior product specialist at Cassini…
Santander’s CVA charge up 15% in Q3
Other eurozone G-Sibs see their CVA requirements fall
Rate options and futures volumes plummet $10trn in Q3
Open interest in short-term options collapses 10% quarter on quarter
Big US banks cut OTC notionals by $10trn in Q3
Cleared notionals made up 54% of aggregate total notionals outstanding
Upgrade to derivatives system dents trading revenue at TD
Real-time mark-to-market of portfolio should cut trading revenue volatility in future
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
Clearing house of the year: LCH
Risk Awards 2020: CCP conquers Brexit threat to deliver banner year for RFRs, margin and forex