Derivatives
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
FCA official: stick with overnight rates for all new contracts
Schooling Latter limits term rates to legacy contracts and wants backward-looking method for loans
EC official: supervisors must manage Brexit trading disruption
Trading obligations won’t change, but Mifid-style forbearance possible in event of disruption
Libor transition and implementation – Special report 2019
A critical halfway stage has been reached on the Libor transition journey – at least in terms of timing. It’s just over two years since the UK’s top financial regulator called notice on the discredited benchmark. It’s also just over two years until the…
Gaming tests, loss provisions and synthetic Libor
The week on Risk.net, September 28–October 4, 2019
ETF strategies to manage market volatility
Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…
€STR swap trading gets under way
HSBC and JP Morgan strike first swap linked to the new euro short-term rate
JP Morgan’s CVA charge jumps $249m in Q2
All US G-Sibs post higher CVA capital requirements for the quarter
Top UK banks cut CVA charges by 9% in Q2
Standard Chartered is only outlier among big five to see capital requirement rise
Short-term interest rate ETD notionals leap $14trn in Q2
Open interest in exchange-traded options with maturities of a year or less rise 19%
Looking forward to backward‑looking rates
Interbank offered rates are critical in the world of contracts and derivatives, acting as reference rates in millions of financial contracts and with a total market exposure in the hundreds of trillions of dollars. Bloomberg explores why offering…
Libor transition and implementation – Covering all bases
Sponsored Q&A
Deutsche opens bidding for interest rate derivatives
Fixed income assets on the block after equity derivatives sale closes
Firms favour swaps over spot when trading FX – BIS
Forex swaps account for 49% of global average daily turnover in April
Renminbi contracts grow share of interest rate derivatives turnover
Instruments denominated in non-G10 currencies accounted for 3.8% of average daily turnover in April 2019
Short-term contracts dominate interest rate derivatives turnover
Overnight index swaps made up 31.5% of daily average turnover in April
FCA chief calls for EU to extend Brexit clearing exemption
Bailey also urges EU to grant equivalence determinations for UK trading venues
Clearstream, Euroclear eye buy-side bonanza as IM rules loom
Depositories offer access to automated margining in different ways, but each faces challenges
Libor takes a back seat as insurers await regulatory clarity
Eiopa silence on discount curves holds back transition plans
Asia Risk Awards 2019: The winners
The best of the best in Asia
Custodian of the year: BNP Paribas Securities Services
Asia Risk Awards 2019