Derivatives
OTC swaps exposures of systemic US banks fell back in Q2
Aggregate current credit exposures to hedge funds falls 42% quarter on quarter
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
FCM client margin ebbed from record highs over Q2
Goldman Sachs was the only FCM to increase swaps margin significantly
HSBC trading unit hit by $355m of XVA costs in H1
Wider spreads continued to eat into derivatives values
Asia debt market suffers SOFR inertia
Issuers of floating rate notes stick with Libor in absence of term version of risk-free rate
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.
Libor Risk – Quarterly report Q2 2020
Detaching an estimated $350 trillion of financial contracts from Libor was always going to be an uphill struggle. For a rump of so-called “tough legacy” contracts it’s a near impossible task. Now their future lies in the hands of legislators
Global banks’ derivatives assets hit $4.4tn in Q1
Market values leapt 43% over the first three months of the year
UK’s tough legacy fix spells trouble for US Libor transition
FCA will have little control over how synthetic Libor rates are used in other jurisdictions
Delivering certainty in uncertain times
TriOptima explains how it combines the reduction of gross notional exposure and the conversion of net risk exposure to deliver outsized results, partnering its portfolio compression network with core net ICE Libor over-the-counter swap portfolios
Asia collar financing surges on back of Covid-19 volatility
Options-based structures gain ground on margin loans – and dealers say it may be a structural shift
Citi’s default fund contributions climbed $2bn in Q1
US bank sees requirement hike 27% quarter-on-quarter
‘Improving’ Mifid post-trade transparency splits markets
Mooted changes to Europe’s transparency regime are dividing markets – largely along functional lines
Structured products gain favour among Chinese enterprises
The Chinese government’s flagship national strategy for the advancement of regional connectivity – the Belt and Road Initiative – continues to encourage the outward expansion of Chinese state-owned enterprises (SOEs). Here, Guotai Junan International…
UK watchdog has competition concerns over Ion-Broadway deal
Trading tech giant has five days to address issues, or face months-long investigation
LCH SA incurs record number of margin breaches in Q1
Largest initial margin shortfall amounted to €100 million
Initial margin – Special report 2020
Buy-side firms in advanced preparations for phases five and six of initial margin (IM) rules are eager to maintain momentum and put their efforts to the test now that implementation has been delayed by 12 months following disruptions related to the Covid…
Strategic preparation – The impact of the UMR phase five delay
Bruce Kellaway, global head of rates, securities and collateral at LCH, discusses the most likely instruments to be pushed into the cleared world as a result of phase five implementation, the tactics firms use to drive efficiency in exchange threshold…
Bargain-hunting equity hedgers turn to FX
Currency options are cheap relative to stock index puts, but correlations are uncertain
Contagion can spread via cross-asset links, ECB study shows
Research throws more light on the hidden risks of central clearing
Derivatives house of the year: Macquarie Group
Energy Risk Awards 2020: Firm’s wide commodities presence, physical and financial risk expertise and financing capabilities result in standout deals
Libor Risk Q&A – Murex
Alexandre Bon, Group co-head of Libor and benchmark reform, and head of marketing and strategy, Asia‑Pacific, at Murex, discusses key industry concerns around the transition away from Libor, including how the discontinuation deadline will be impacted by…
Bond-CDS basis keeps investors interested
Difference between cash bond spreads and derivatives tightens but still offers value, dealers say