Derivatives
Traders shocked by $712m CVA loss at StanChart
Bank’s new methodology has been used by some rivals for more than a decade
CCPs must be able to haircut initial margin in a crisis
Initial margin is the best source of liquidity for CCPs in a crisis, argues Irish central banker
Banks save €3.5bn in swaptions compression drive
Capitalab removes €1.3 trillion notional, cutting capital requirements
Pensions industry says permanent Emir exemption not enough
European Parliament and UK regulator push for carve-out, but industry unimpressed
Isda would create protocol for swap rate ‘big bang’
Tool to allow for legacy contract amendments in case of OIS rate change
Managing XVAs: from whack-a-mole to Mortal Kombat
Joined-up effort to tackle XVAs reflects growing impact of derivatives valuation adjustments
US dollar/yen basis blows out to –100 on negative rates
Bank of Japan policy adds to domestic banks’ dollar funding dilemma
Autocallable issuers avoid pain despite HSCEI collapse
Dealers say Korean autocall pain subdued as volatility stays low
Japan’s Quick takes on MarkitWire with domestic affirmation service
Japanese language service targets domestic regional banks
Mixed industry reaction to Moody’s CCP ratings
Clearing members say narrow definition of default may limit ratings’ usefulness
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
HSCEI autocallable hedging hitting forex market, say dealers
Dealers flock to Hong Kong dollar options and forwards markets amid depeg fears
‘Frustration’ claims unlikely to hit Libor reform
FMLC's Joanna Perkins dismisses legal concerns about benchmark reform
Hedging error measurement for imperfect strategies
Jack Baczynski, Jonathan da Silva and Rosalino Junior present an index for measuring hedging errors
NAB pushed into clearing role by Clydesdale spin-off
Both parties felt it might be difficult for the UK bank to find a clearing provider alone
Surprise answer to regulatory squeeze: use more swaps
New rules could push buy-siders towards synthetic strategies
Dealers warn of hit to Asia from short margin transfer times
Japanese firms and Isda call for T+3 for cross-border uncleared swap trades
Year of the XVAs: top technical papers and authors of 2015
Funding valuation adjustment under the microscope, along with other, newer XVAs
Q&A: Taiwan’s finance watchdog on Tarfs and deregulation
Tseng defends FSC’s mix of looser rules and restrictions on derivatives
Mandatory EU clearing to start on June 21 for biggest firms
Rules on clearing of interest rate swaps enter EU's official journal
Banks eye Traiana for EM forex netting service
Industry turns to utility as CLS emerging markets push stalls
Equity derivatives house of the year: Societe Generale
Market-leading business up 61% year-on-year in Q2
Risk management house of the year: Credit Suisse
New risk platform yields major benefits
Europe house of the year: Societe Generale
Focus on credit pays dividends for French bank