Derivatives
Libor countdown clinic #2
There is still a lot to do ahead of the Libor cessation deadline, and predicting the story’s closing chapter is not easy. This webinar explores what is left to prepare, who’s ahead, what they’ve done and how they’ve done it.
Bank FX teams eye slice of crypto derivatives action
Business heads increasingly confident that trading will reside in their patch
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
Source of systemic risk varies by region
European, Canadian and UK banks are too big to fail because of their cross-border activities, Chinese and Japanese banks because of their size
JP Morgan returns to HK warrants hit by China sanctions
US bank faces battle to rebuild client base on sanctioned securities, issuers say
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
Rate of centrally cleared CDSs hits record high
Multi-name products drove increase in first half of 2021
OTC derivatives amount rose 5% in H1
While notional amounts were up from end-2020, gross market values fell 20% across all instruments tracked by the BIS
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
LCH to clear swaps linked to embattled BSBY rate
Risk USA: SOFR surge eases concerns over Bloomberg’s credit-sensitive Libor alternative
Nomura nets ¥3.8 billion from CVA and DVA gains
Windfall offsets previous quarter’s loss more than three times over
VAR model update cuts NatWest’s market RWAs by 26%
Market RWAs fell from £10.9 billion to £8 billion in Q3 following regulatory approval for a VAR update linked to Libor cessation
Liquidity valuation adjustment costs JPM $235m
Tweak to derivatives book weighs on the bank’s fixed income revenues
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”