Derivatives
EU banks’ derivatives exposures jumped 36% in H1
Top banks added €235bn since December, amid switch to SA-CCR and a new leverage ratio template
US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
Mifid’s derivatives open access poses ‘dire consequences’
Diminishing support for CCP open access ahead of European Commission review
Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio
The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn
Asia moves: BIS appoints new chair for Asia council, VP Bank expands Asia leadership, and more
Latest job changes across the industry
Barclays looks to woo CCPs with CDM prototype
Plan to save billions in post-trade costs relies on the creation of central data utilities
Clear out: inside the equities takeover of Citi’s FCM
Clearing unit is being reshaped to support equities growth push
BNP Paribas leads EU banks on repo exposures
French bank increased securities financing transactions by €66bn in the first half of the year, the most among the bloc’s top lenders
Deep learning profit and loss
The P&L distribution of a complex derivatives portfolio is computed via deep learning
Bank-backed futures utility criticised as too ambitious
Osttra’s Joanna Davies urges industry to look for “quick wins”
BNP hits top spot for FX options
Counterparty Radar: French bank ousts long-time leader Citi as biggest dealer for mutual funds
Santander’s CVA charge jumps 94% in Q2
Among the other EU systemic banks, higher capital requirements also at SocGen, ING, Crédit Agricole and UniCredit
Interest rate ETD volumes up 40% from 2020 nadir
Shorter-dated contracts push total open interest higher
StanChart’s CVA charge up 19% in Q2
Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
Asia moves: LCH appoints new head of Asia, BNY Mellon picks treasury services chief, and more
Latest job news across the industry
US fund filings show CME taking bite out of LCH swaps share
Counterparty Radar: Rivals neck-and-neck after big LCH user cuts rate swaps book and non-G10 trades surge
UK bank derivatives exposures fall by £321bn in Q2
At £1.12 trillion, FX exposures are at their lowest levels for seven years
Cleared portfolios surge at EU G-Sibs
Systemic banks post highest share of cleared trades in seven years, as IM phases five and six approach
Crédit Agricole grew OTC derivatives notionals 17% in 2020
Bank pulls ahead of SocGen as third-largest European derivatives bank but risks incurring a higher G-Sib score
Systemic indicators surged at European banks in 2020
Values used for 10 of 12 systemic risk indicators climb year-on-year
EU banks forced to up collateral for ETDs in Q4 2020
Over-collateralisation of liabilities jumps to highest since March 2020
Capitolis to acquire LMRKTS
Deal for multilateral compression provider latest in wave of post-trade tie-ups, as SA-CCR bites
Archegos report details margin failings at Credit Suisse
Dynamic margining and a $150,000 software fix for ‘bullet swaps’ could have saved the bank $3 billion