Derivatives
Finland’s Ilmarinen goes back to basics
Talking Heads: Once one of the few funds that would enter bank risk recycling trades, recent overcrowding has seen it pivot to listed equities
Avon CDS holders win payout despite narrow debt auction
With swap volumes outweighing eligible deliverable debt, holders feared contracts could be worthless
IM requirements at LCH ForexClear hit record high in Q2
Latest figures show a 32% increase quarter on quarter to $10.7bn
JPM’s EU arm outpaced bloc’s top dealers on OTC derivatives in 2023
A 30% surge in notionals coincided with a departure from central clearing
SGX-DC’s prefunded resources short of stressed losses 37 days in Q2
Latest round of shorftalls linked to double-member default lay bare lack of Cover 2 requirement
How Risk.net’s robots unlocked Ucits trade data
Machine learning tool helps reveal the largest European derivatives users – and who they trade with
Could Trump presidency herald $27bn margin call on World Bank?
Think-tank’s policy plan to pull US out of multilateral threatens AAA rating, ending collateral exemption
UBS Americas’ clearing rate dips post Credit Suisse integration
US arm of Swiss bank cleared $47bn in notionals in the second quarter, the lowest since end-2021
Derivatives pricing with AI: faster, better, cheaper
Pascal Tremoureux, head of quantitative research at Murex, describes the firm’s mission to replicate derivatives pricing models through machine learning – slashing time and costs in the process
More disclosure touted to temper pre-hedging ills
Transparency could help investors choose a dealer, but will they use the disclosures?
Fourteen US banks poised to benefit from curtailed market risk rule
Fed’s changes to Basel III endgame proposal would keep regional banks with limited trading activity exempt from costly FRTB requirements
Rates traders brace for jobs data after August steepener payday
Investors hope for weaker-than-expected non-farm payrolls to trigger re-steepening
Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
Credit options notional for top US dealers soars 45.3%
Investor demand for puts and calls drives balances near Q1 2022 record
The standoff over separate account margining
CFTC issues sixth extension of no-action relief as long-awaited final rule stalls
Futures exchanges seek clarity on China licensing regime
Hazy details on landmark Futures and Derivatives Law breeds legal uncertainty, unnerving operators
Citi, Barclays raise FCM target residual interest 28% in June
Backstop funds also marginally up as a proportion of required customer funds
Iosco delays pre-hedging consultation to November
Review into controversial practice splits industry
Déjà vu for common domain model
Piecemeal progress on ambitious derivatives data standard raises questions over business case
Long shadow of Apollo looms over turmoil at Athora
Risk.net investigation reveals troubling picture of US asset manager’s European insurance project
Survey: FX swaps e-trading sees greater client sophistication
BofA study shows increasing electronic trading of derivatives as users embrace MDPs and APIs
Derivatives trading halved amid CrowdStrike tech outage
With broker screens offline, G3 rates derivatives volumes plunged versus a normal Friday
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
Six CCPs fail to cover concentration risk in Esma stress test
Largest shortfalls modelled in commodity derivatives segment, led by Ice Clear Europe ECC