Mark-to-market valuation
FCMs fret over S&P 500 options settlement changes
Dealers say CME, Cboe settlement time shift for S&P 500-linked options causes risk management headache
How buy-to-hold accounting shuffle boosts US bank capital
Banks gamble shrinking AFS portfolios will bring down stress capital buffer, G-Sib surcharge
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
Level 3 assets fell at top US banks in Q2
Mark-to-model instruments disclosed by banks over $100 billion in size contracted 4%
Hard-to-value assets fell at EU banks in Q2
Level 3 derivatives assets fall 14% quarter-on-quarter
Europe’s clampdown on fund outsourcing chills market
Esma proposals spark worries AIFMD review could wreck existing delegation models
BNP tags €10bn of equity derivatives as hard-to-value
Over 12% of exposures classified as Level 3 at end-June
Valuation risks fell at UBS in Q2
Swiss lender is sitting on $8.1 billion of Level 3 assets
Gaussian process regression for derivative portfolio modeling and application to credit valuation adjustment computations
The authors present a multi-Gaussian process regression approach, which is well suited for the over-the-counter derivative portfolio valuation involved in credit valuation adjustment (CVA) computation.
DTCC’s mortgage unit hit by $1.5bn margin breach in Q1
A large, directional portfolio $100 billion in size was to blame
French, UK banks have largest trading portfolios in Europe
Fair value and HFT assets concentrated among biggest banks
Structured product losses weigh on Canadian G-Sibs
CDOs held by RBC lose C$369 million over three months
Counterparty risk capital charges up 20% at top UK banks
StanChart CCR capital requirement jumps 41% over the first quarter
Japan Post marks down CLOs by ¥122bn
Lender has increased holdings of CLOs 76% since Q4 2018
Commerz tags €5bn of CLOs as hard-to-value
Buyers’ strike makes mark-to-market pricing impossible for structured credit
SEC derivatives rule may lead to new products
Proposed VAR limit is expected to benefit risk parity and defined outcome strategies
Prime services – It’s about what you bring
There are many benefits to integration – particularly when it comes to the provision of prime services. Societe Generale has followed this path, which has allowed it to improve cost efficiency and improve the range of products it can offer. The bank has…
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
FVA – Time to go asymmetric?
Despite being introduced over six years ago, there is still no market consensus on how to calculate funding valuation adjustments. One point of contention is whether to use the same funding curve for borrowing and lending (symmetric funding) or to use…
Large banks set for capital boost through Fed’s AOCI opt-out
Unrealised losses on certain assets will not longer filter in CET1 capital for non-systemic lenders
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Making technology count in a C/ETRM world
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…