Derivatives
Korean autocalls to make comeback, with ‘smaller pie’ for banks
As equity-linked autocallable channels look set to reopen, new rules could limit market’s revival
European exchange-traded IR derivatives balloon in H1
New highs in F&Os mirror OTC derivatives growth in BIS survey
Real money rides the hybrid options wave
Insurers follow hedge funds into exotic trades with equity-down, yields-down recession plays
US Basel III endgame: counterparty credit risk rumblings
CVA rules need better recognition of clearing and hedging, while SA-CCR netting questions linger
JP Morgan SE’s clearing rate plunged to 15% in 2024
US bank’s EU arm slashed €5.7trn in cleared notionals, while bilateral grew €11.4trn
The implications of extraordinary speed in contemporary financial markets trading
This paper shows how high-frequency traders cancel many trading orders within 20 milliseconds of submission and proposes batch auctions to mitigate queuing risk for high-frequency traders.
UniCredit’s VAR cools as Commerz swaps convert to shares
Average reading down by over a third after Italian bank settles part of its stake in the German lender
Euro IR derivatives dethrone dollar as turnover hits new high
Latest BIS triennial survey shows euro-denominated contracts averaged $3trn a day in April
Reporting overhaul: the EU’s near-impossible balancing act
Regulators must weigh their desire to streamline derivatives reporting against the need to gather crucial trade data
JP Morgan SE, BPCE drive surge in European OTC derivatives
Foreign-owned dealer and French bank climb rankings on rapid notional growth in 2024
EU reporting revamp may end up costing banks
Esma’s review into trade reporting promised to cut reporting burden and save firms money. Dealers aren’t convinced.
US banks’ OTC derivatives climb to new highs amid tariff woes
Notionals up more than 7% in largest Q2 jump on record
Skewing the correlation in local and stochastic volatility frameworks via copulas
A copula-based model to capture correlation skew in multi-asset derivatives is presented
UniCredit shed €976bn of OTC derivatives notionals in 2024
Italian bank posts sole decline among EU peers through trade compression
Euro Stoxx 50 rebalance hits dividends
Muted futures response as triple substitution sees high-yielding Pernod replaced by zero-div Argenx
Future proof: can FMX-LCH platform prevail?
A year into FMX Futures Exchange, Treasury futures volumes are low, and firms aren’t cross-margining
Large US banks pile up CVA charges amid tariff shock
JP Morgan’s CVA risk-weighted assets saw largest jump in second quarter since Covid-19
Danske shrinks CVA capital charges 44% after hedge revamp
Credit protection buying spree helps cut capital requirements to lowest level since 2014
Altice CDS auction may debut lock-up tweak
Separate industry proposal would make permanent a cash settlement fallback
US bank CCP default fund contributions climb to record $90bn
G-Sibs’ exposures soar 48% over 18 months with Wells Fargo quadrupling its stake
Can vendors and CTAs escape the CFTC’s clutches?
Withdrawal of Sef perimeter advisory may provide greater flexibility for new breed of crypto tools
Derivatives players divided over 24/7 trading
For some, round-the-clock markets are inevitable. Others see “enormous risks”
Jive Investments quicksteps towards hedged returns
Brazilian fund manager uses combo of options and forwards to push down hedging costs compared with plain NDF strategy
FMX set to extend trading hours for rates futures
New schedule matches CME’s hours, but some worry about clearing mismatch