Derivatives
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
US retail funds further slash repo borrowing
Counterparty Radar: Manager activity in Q3 2022 lowest in nearly three years; BofA surpasses JP Morgan as top dealer
Franklin Templeton takes single-stock options top spot
Counterparty Radar: Market for US mutual funds and ETFs expanded by $4 billion in Q3
Capital Group spearheads mutual fund trim of IR swaps books
Counterparty Radar: Manager cut 70% of its position in Q3 as space shed roughly $174 billion in holdings
PGIM cuts corporate CDSs as US funds shed volume
Counterparty Radar: Morgan Stanley retains top dealer spot in single-name CDS trades for mutual funds
Merrill Lynch hoovered up $1.5bn of client margin in October
Required funds for F&O rose 66%, bucking trend across major FCMs
Booming US fund swaptions market boosts Morgan Stanley
Counterparty Radar: Nomura cements position as leading foreign-owned dealer in the space
Capital Group, Pimco lead tilt to bought index CDSs
Counterparty Radar: US mutual funds added $7.8bn of bought protection, growing sector to $169bn in Q3
Trading the vol-of-vol risk premium
Applications of the vol-of-vol parameter for cross-asset derivatives are presented
Client margin up 4% at Barclays’ swaps clearing unit
US unit of UK bank became sixth FCM by share in October
US mutual funds abandon inflation swaps
Counterparty Radar: Volumes dropped to new lows in Q3 as price expectations cooled
FTX’s Mifid licence exposes Europe’s regulatory gaps
Could Cyprus have spotted the warning signs before handing FTX the keys to European customers?
Asia moves: Citi and Deutsche Bank make senior hires, and more
Latest job news across the industry
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Morgan Stanley regains FX forwards top spot
Counterparty Radar: US bank dethrones HSBC, which slipped to fourth in Q3
OTC clearing rebounded at G-Sibs in 2021
Trend reverses as bilateral settlement of OTC derivatives loses previous year’s gains
Japan dealers’ derivatives exposures keep inflating
MUFG, SMFG and SMTH added almost ¥6 trillion to their balance sheets in the three months to end-September
What happens when a bank drops off the systemic risk radar?
Russia’s Sberbank skipped this year’s G-Sib assessment. But just because a bank is invisible doesn’t mean it no longer poses a risk
Global banks’ systemic footprint grew at record pace in 2021
Every indicator up on previous year, only the second time in G-Sib assessment history
CFTC chair defends under-fire crypto bill following FTX debacle
Proposed legislation addresses many of the issues that led to FTX’s failure, Behnam tells Congress
Critical divergence in prices between Spikes and Vix after the Fed’s rate hike
In these uncertain times, when rates hikes and other structural drivers are giving rise to adverse market moves, reliable indicators of 30-day implied volatility are crucial
Podcast: Piterbarg and Antonov on alternatives to neural networks
Two novel approximation techniques can overcome the curse of dimensionality
FCM client margin for swaps hit record high in September
JP Morgan reported the largest monthly increase across the 13 reporting firms