Derivatives
360° of climate: indices for every objective
This white paper explores a variety of climate strategy targeting objectives, including low carbon, fossil fuel-free and net zero to enable investors to respond to the risks and opportunities of the climate challenge.
The evolution of the fixed income tradable ecosystem: North American and European credit markets
Fixed income tradable indexes are designed to provide an efficient means to measure the bond market. This paper offers an introductory reference for these instruments and highlights their performance in recent market periods.
The dynamics of XVA usage and other themes that characterise trading in the energy markets
The application of XVAs for derivatives transactions, the need for sophisticated modelling and the growing application of machine learning are among six themes explored in this white paper – all of which significantly impact trading in the energy markets.
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
For the capital markets, every risk playbook needs to implement these six themes
This white paper outlines six risk management themes that we think should be a part of any risk playbook and which can serve financial institutions well in preparation for the uncertain future that lies ahead.
Derivatives valuation swings lop $2.4bn off BofA’s income in Q2
DVAs and markdowns on fair-value hedges return to drag on dealer’s revenue
Hedge funds turn to exotics for EM carry trades
Traders eye dual digitals to cheapen up carry plays
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
Deutsche Bank’s swaptions trading with US retail funds soars
Counterparty Radar: Space grows 6% in Q1 as Citi’s book of business also surges
MassMutual maintains lead in IR swaps market for life insurers
Counterparty Radar: Bank of America heads dealer rankings as sector’s notional drops 1%
The battle to stop energy markets boiling over
European CCPs and supervisors join call for changes to mitigate any repeat of last year’s crisis
IR swaps market for US funds rebounds in Q1
Counterparty Radar: Notional traded by mutual funds, ETFs bounces back to early-2022 levels
UK pension fund buyouts frustrated by ‘dirty’ CSAs
Contracts allowing schemes to post corporate bonds as collateral are obstructing risk transfer to insurers
SA-CCR charges surge at BNP Paribas and ING
Dealers’ RWAs rise combined €3.1bn in volatile Q1, among biggest quarterly jumps since SA-CCR’s EU debut
Top EU banks’ OTC derivatives climbed 12% in 2022
All but two dealers report higher notional amounts, led by Crédit Agricole
A three-point turn in derivative design
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring
Citi’s CVA charge up 7% in Q1
Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
US life insurer index options market hits $1trn mark
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increase
D-day for the rates market: solving the outstanding issues in US Libor transition
The next months will determine how rates markets cope with the death of Libor. With transition efforts approaching D-day, experts discuss the issues facing the market, the progress made so far and the outstanding issues facing the ‘new look’ rates market…
Information geometry of risks and returns
An innovative product design framework and its geometric interpretation is introduced
SVB salvage lands First Citizens with $18bn of FX contracts
Bank now holds seventh-largest stack of non-trading currency derivatives in the US
The case for modularity and interoperability
This report, produced by WatersTechnology and Broadridge, investigates the extent to which firms have optimized their entire trade lifecycles, the structure, challenges and interoperability of their front-office systems, and what they most value when…