Over-the-counter (OTC) derivatives
This is going to hurt: EU-prescribed OTC tape is no cure-all
Market participants sharply divided on utility of a consolidated tape to record OTC derivatives trades
Citi’s share of cleared swaps hits new high
Latest quarterly increase, alongside that of Goldman Sachs, bucks trend across top US banks
Time’s up for UK banks to unwind swaps with VTB
Majority of contracts have been terminated, but laggards face prospect of default
Liquidity stress-testing using optimal portfolio liquidation
A methodology to derive liquidation costs and times in OTC markets is proposed
‘Dead’ derivatives market leaves big Russia dealers unhedged
VTB and Sberbank face directional exposure to local corporates after mass unwinds by foreign banks
Estimating value-at-risk using quantile regression and implied volatilities
In this paper the authors propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter foreign exchange interbank market.
Market begs EC for more time to mull euro clearing proposals
Firms given one month to respond on wide-ranging consultation around relocation of euro swaps
Prime broker of the year: Barclays
Risk Awards 2022: Focus on risk management helps UK bank win client trust – and balances – in wake of Archegos collapse
Indian banks struggle to make gains from close-out netting law
Lawyers say undocumented derivatives trades hinder the audit trail needed to secure capital benefits
Banks balk at SEC backloading rule
Reporting requirements for expired security-based swaps “not justified”, dealers say
Vanguard eyes DLT for FX forwards after smart contract success
Fund giant hopes roll-out of tech in 2022 will deliver greater efficiency and pricing benefits
B2C2 platform seeks to bring banks into crypto derivatives
By using a Japanese bank as intermediary, market-maker hopes to tap into growing trading demand from dealers
Swaps between UK banks and foreign firms up in Q3
Despite latest uptick, gross value of derivatives contracts held by UK banks is 67% below 2008 peak
Dealers look to cut SDP prices amid platform fee battle
JP Morgan offers different pricing for single and multi-dealer venues; Barclays mulls same approach
Morgan Stanley cleared swaps jump 9% in Q3
Latest quarterly increase, alongside that of Bank of America and State Street, bucks the trend across top US banks
HSBC leads systemic banks in cutting derivatives exposures
On aggregate, the top 30 banks shrunk notionals by 7% year on year
Global banks grow systemic footprint
Nine out of the 12 G-Sib indicators increased in 2020
UMR efficiency: optimising systems and processes for IM compliance
UMR are among the biggest collateral management issues faced by investors in over-the-counter (OTC) derivatives. At a specially convened session sponsored by IHS Markit at Risk.net’s Buy-Side Risk Global event, panellists discussed the latest phases of…
After Archegos, a bigger role for XVA desks?
Credit Suisse has stalled on call to expand XVA remit; others think it would have helped, but disagree on how
Clear out: inside the equities takeover of Citi’s FCM
Clearing unit is being reshaped to support equities growth push
Banks warn it’s too early for an OTC swaps consolidated tape
Market participants say Isin difficulties need to be resolved in order to create a usable tape
Margining solution of the year: IHS Markit
Asia Risk Awards 2021
Morgan Stanley bests Citi as top forwards shop for US funds
Counterparty Radar: A $30bn boost from Vanguard sends MS to top of Q2 charts
Ion expands into OTC markets with Clarus deal
Tech titan adds real-time swaps margin analytics to its post-trade services for listed derivatives