Derivatives
Dealers dip toe into Sonia swaptions market
NatWest and HSBC print trades, Barclays offers prices
SA-CCR switch cuts leverage of two Japanese banks
Leverage exposures for Nomura and Norinchukin fall ¥4.7 trillion in aggregate
Natixis defers €120 million of trade profits in H1
French bank builds valuation reserve by 41% year-on-year
UK banks added OTC notionals in 2018 as EU peers cut back
Barclays, HSBC, Lloyds, Standard Chartered increased notionals by almost €15 trillion
Podcast: McClelland on why you need a good MVA model
Numerix quant presents a model aimed at showing the total cost of a trade
Q&A: CFTC’s Behnam on tackling market risk in climate change
Commissioner wants to see new derivatives products to help mitigate climate threat
Derivatives up $4.9trn at HSBC in H1
Swollen portfolio could push bank into higher G-Sib surcharge bucket
SGX’s Koh defends clearing methods post-Nasdaq
Existing tools still work, despite external scrutiny on default management, says risk chief
Connectivity – Standards set to enhance collateral management
Regulatory changes in the over-the-counter derivatives space have seen firms scrambling to find solutions that will ensure they are prepared to manage the transition. As ever-larger transaction volumes place higher demands on firms’ transaction…
Ford reaps derivatives gains following interest rates dip
Swap assets of automaker’s financial services unit hit $1.2 billion
IM big bang split confirmed with new $50bn threshold
Addition of sixth compliance phase looks set to slash September 2020 in-scope entities by more than half
Nordea’s CVA charge drops 34%
CVA requirements are at their lowest level since Q3 2018
2022 – A market risk odyssey
Though January’s final version of FRTB offered no great surprises to those who have followed the regulation since its inception, banks now have a greater idea of what is required of them. Bloomberg explores the importance for banks to have FRTB…
Derivatives assets surge at eurozone hedge funds
Derivatives assets made up 16% of total hedge fund assets in March
No forward-looking rates? No problem
A commonly used quant model could be the answer to the replacement of forward-looking Libor
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
US parries EU jab on CCP oversight
CFTC’s Pan questions Esma’s “very complex” test; EC’s Pearson calls it “more intelligent” than US’s
Complexity reduction for calibration to American options
In this paper, the authors propose and investigate a new method for the calibration to American option price data.
