Derivatives
Risk.net podcast: DTCC’s Lind on FRTB, data pooling and NMRFs
As many as 70 banks globally could adopt internal model approach for market risk capital
Lawyers blast Basel on funding of STM swaps
'Daft' guidance would see settled-to-market derivatives caught by NSFR and LCR liquidity ratios
Interest rate ETD open interest drops in Q2
Open interest in options and futures contracts combined dropped 12%
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
RFR valuation challenges
A new system of interest rate benchmarks for all major currencies is emerging. These new benchmarks will replace interbank funding rates with risk-free rates (RFR). This article by LPA focuses on valuation challenges during the transitional period to new…
Polynomial upper and lower bounds for financial derivative price functions under regime-switching
In this paper, the authors present a new approach to bounding financial derivative prices in regime-switching market models from both above and below.
Swap books swell at big US banks despite lower risk profile
Total OTC derivatives notional among the eight banks is $222 trillion – a 2% increase on the quarter
New York’s MTA to issue first SOFR muni bond
Transport authority for New York City joins five other issuers in using new US benchmark
House of the year, Korea: Hana Financial Investment
Asia Risk Awards 2018
Japanese corporates boost forex hedging
Notionals traded highest since end-2012
Corporates fear EU will spike Emir Refit reporting relief
Delegated reporting threatened by policy-maker objections to use of foreign banks
Goldman adds bilateral derivatives as rivals cut back
Citi and JP Morgan reduce bilateral derivatives exposures by 10% and 2%, respectively
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
Preparing for the initial margin phase-in
Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how…
UK derivatives values grow on forex activity
Foreign exchange contact values leap £0.4 trillion in second quarter
Bank of America grows derivatives, bucking G-Sib trend
Total derivatives exposures jumped 4.2% quarter-to-quarter to $299.4 billion
EU drops reporting relief for exchange-traded derivatives
Exemption removed from Emir Refit, but Parliament moots future legislative changes for ETDs
Counterparty risk builds at Bank of America, JP Morgan
Higher portion of RWAs attributable to more risky derivatives and repo counterparties
CVA gain bolsters JP Morgan trading revenues
$302 million of first half trading revenues attributed to credit valuation adjustment
Brevan Howard is first non-bank caught by margin rules, sources say
Non-cleared exposures thought to exceed $1.5 trillion
World Bank completes first SOFR bond hedge
The largest SOFR swap trades to date were executed on August 13
Margin 'big bang' to catch tenfold more UK firms, FCA estimates
Risk Quantum analysis suggests around 50 firms will be captured by margin rules in total
New Chinese forex crackdown to hit corporate hedging
Despite new reserve requirement, dealers say ‘maturity’ in risk management is here to stay
Swaps end-users struggle for clearing access – survey
Thirty of 44 derivatives end-users cite difficulties finding and maintaining access to CCPs