Derivatives
As dispersion hikes in price, equity traders slice and dice
Banks tout alternative versions of relative value vol strategy, including reverse dispersion
Doubts dog equity dispersion as market grows up to five-fold
Some say $500 million vega notional – or more – in popular equity derivatives trades could be dampening volatility
Wells Fargo’s F&O client margin reached new high in January
Required funds up $380m, pushing FCM’s month-end figure past pandemic peak
BlackRock’s interest rate swaps notional climbs 20%
Counterparty Radar: US retail funds continued to add to their positions in Q4
Zero-day options: unique market dynamics and risk considerations
In a recent Risk.net webinar, experts discussed the growth and usage of 0DTE options, challenges in modelling their prices and risks, practical risk management issues and whether they pose systemic risks to the market.
Invesco more than triples size of its FX options book
Counterparty Radar: Manager’s portfolio exceeded $5bn notional in Q4
Derivatives funding: smart solutions for a complex environment
Eurex’s cleared repo and GC Pooling offerings are helping market participants overcome challenges in the funding, financing and collateral markets
Hedge funds push for transparency in credit determinations
Proposals include more disclosure around meetings and detailed rulings of credit events
JP Morgan names new co-heads of markets
Sippel and Thakur will lead a trading business that has been reshaped over the past 18 months
Gas market area mergers: when is bigger better?
The authors investigate welfare effects of gas market area mergers and argue that merged market areas benefit from increased market power.
From ‘glut effects’ to ‘greedflation’: the factors shaping derivatives markets in 2024
Societe Generale and Risk.net held the ninth edition of their annual flagship Derivatives Conference in the iconic SG Towers at La Défense. Usually hosted in London, the event was co-sponsored by the CME Group and took place in Paris for the first time,…
Why ‘Derivatives’ became ‘Markets’
The derivatives markets have changed drastically over the past decade. So has Risk.net’s coverage
Collateral damage: the lowdown on dirty CSAs
How are banks coping with growing demand for non-cash collateral in uncleared derivatives contracts? An expert panel discusses the re-emergence of dirty CSAs
Pimco’s interest rate swaps book shrinks 21% in Q3
Counterparty Radar: BlackRock and Capital Group also trim positions to drive down swaps usage by US mutual funds
Barclays’ F&O client margin hit new high in October
Bank on course to overtake Citi as sixth-largest FCM by required funds in the US
BNP takes top forwards spot with US mutuals
Counterparty Radar: French bank ousts Bank of America to lead the table for the first time
Buy-side traders opt for derivatives automation in pursuit of timing and pricing precision
Increased capacity and efficiency have been key drivers of automation, with the introduction of new technologies at the trading venue level facilitating the implementation of new trading styles. Exploring the impact of high-volume trading and expanding…
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
Most G-Sib indicators hit all-time highs in tumultuous 2022
Trading volumes and payment activity among fastest-surging indicators
Indian CCPs derecognition costs BNPP, Deutsche €6bn in RWAs
Esma’s decision forces re-weighting of local exposures by EU dealers
New developments in XVA: bank strategy in a changing world
Derivatives valuation has grown in complexity since the the financial crisis that began in 2007–08. It now encompasses a broader range of risk factors, including credit, funding, margin and capital – all of which can affect banks’ competitiveness and…
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures
Huatai launches its first Hong Kong CBBC
Two more securities houses set to follow Chinese firm into Hong Kong’s listed structured products market
Welcome to a new ecosystem for managing credit risk
How Eurex is using credit index futures to build the next frontier for exchange-traded derivatives