Derivatives
Derivatives assets surge at eurozone hedge funds
Derivatives assets made up 16% of total hedge fund assets in March
No forward-looking rates? No problem
A commonly used quant model could be the answer to the replacement of forward-looking Libor
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
US parries EU jab on CCP oversight
CFTC’s Pan questions Esma’s “very complex” test; EC’s Pearson calls it “more intelligent” than US’s
Complexity reduction for calibration to American options
In this paper, the authors propose and investigate a new method for the calibration to American option price data.
Eurozone G-Sibs’ swaps notionals fall €9.6trn in 2018
Deutsche Bank’s portfolio shrinks 16% year-on-year
UK G-Sibs add $11trn of OTC notionals in 2018
HSBC added the most derivatives notionals in dollar terms, increasing outstandings by 26%
Libor will not transition quietly – What you need to know now
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, discusses the scope of the transition from Libor to alternative reference rates – also known as risk-free rates (RFRs), including their…
Banco Santander’s CVA charge drops 20% in Q1
Three EU G-Sibs cut capital requirements, three increase them
Default fund costs dominate US G-Sibs’ cleared swaps charges
Default fund contributions accounted for 62% of the eight banks’ RWAs
Short-term bets push interest rate option volumes higher
Open interest in short-dated contracts surges 23% from December to March
UK public sector offloads swaps
Gross derivatives outstanding with public entities stood at £5.9 billion in Q1
Over four years, US non-cleared swaps books get riskier
Risk density of non-cleared trades has increased under standardised approach
CDS sold by US banks down $55bn in Q1
JP Morgan cut CDS notionals the most, shedding $36.8 billion from its portfolio
JP Morgan cleared swaps balloon $8trn in Q1
Total G-Sib cleared notionals climb 23% in three months to end-March
G-Sibs add $33trn of OTC notionals in Q1
JP Morgan expands swaps book by 23% in first quarter
LCH veteran Davie set to depart
Clearer looking to fill new role in head of SwapClear and listed rates
Systemic risk scores surge at six US G-Sibs
JP Morgan and Goldman Sachs bump up against higher-risk surcharge thresholds
Lack of buy-side repo backstop a concern – Citi repo head
Growth of client repo books could create liquidity crunch, says Grigorios Markouizos