Derivatives
Stock slump dents income, hikes VAR by 22% at UBS
Income from equity derivatives trading plummeted $47 million quarter-on-quarter
Brexit threatens to reopen Asian bail-in clauses for EU banks
EU27 dealers had used English law contracts for Asian counterparties to comply with BRRD
Lobbyists seek eleventh-hour Brexit relief for UK futures
EC urged to extend CCP safe harbour so listed derivatives don’t switch to OTC
Isda seeks consensus on CDS clean-up
Credit definitions amendments expected in Q1 to stamp out manipulated triggers
Natixis’s €260m hit blamed on big books and Kospi3 product
Rivals say French dealer grew business too quickly – with leveraged version of Korean index one source of pain
NatWest kick-starts Brexit swaps transfer
Bank follows Barclays and UBS with plans to continue serving EU clients as ‘no-deal’ looms
Reducing margin procyclicality at central counterparties
This paper studies the effect of less procyclical margin models on cleared volumes and risk taking in a stylized CCP.
Interest rate ETD volumes tick up in Q3
Longer-dated contracts push total open interest higher
Degree of influence: are machines starting to learn finance?
This year's analysis recognises a turning point in machine learning applications
JP Morgan’s CVA charge jumps $203m in Q3
Median CVA capital charge for US G-Sibs was $2.1bn in third quarter
StanChart CVA charge jumps 161% in Q3
Charge rises to $99 million in three months to end-September
How banks can keep pace with XVA
The complexity of derivatives pricing has grown significantly in the past decade, with banks having to factor in a series of valuation adjustments to calculate the impact on their balance sheets. With budgets and resources under pressure, and traditional…
Credit Suisse makes double hire for Asia solutions
Equity structurer Charles Firth rejoins, along with ex-StanChart and Goldman salesman Martin Cher
UK pension funds may have to clear, post-Brexit
Delays to Emir review raise fears that UK schemes may lose exemption
Banks warned on holes in EU’s proposed Brexit relief
Potential EC, French and German no-deal relief is expected to be short-lived and incomplete
CME abandons buy-side direct clearing initiative
CCP shutters plan after feedback from regulators and market participants
Two banks begin moving swaps out of London, pre-Brexit
Part VII transfers underway as Barclays, UBS seek ‘big bang’ trade moves; clients warned of legal, regulatory questions
Currency derivatives house of year: BNP Paribas
Risk Awards 2019: French bank hits options windfall in Turkey during currency crash
Energy Risk Asia Awards 2018: The winners
BNP Paribas takes Derivatives house, BP wins Oil & products and BOCI and Engie scoop two awards each
Goldman's OTC client margin jumps
FCM client funds increase 36% year-on-year – the fastest growth among leading US clearers
Costs deter clearing clients from using back-up dealers
End-users say using more than one clearing broker doesn't make economic sense
Deutsche largest derivatives bank in 2017
German dealer accounted for 8% of total notionals across 75 largest banks
Derivatives exposures at US G-Sibs on the wane
Bank of America cuts $15 billion in third quarter, the most of the big eight firms
Choosing the right model for non-cleared OTC margining
When the final phase of the swaps market’s new margining regime takes effect in 2020, hundreds – possibly thousands – of buy-side firms will be hit by complex margin requirements.