Derivatives
Commodity and equity derivatives drive record liability gap at UK banks
Net derivatives balance narrows to lowest in a decade as liabilities rise faster than assets
7IM hits £1bn with blend of in-house and bank QIS
UK manager combines its own strategies with offerings from Goldman, JP Morgan, Morgan Stanley and SG
Hedge funds return to JGB flatteners after brutal stop-outs
Funds bet repatriation of assets by Japan’s pension funds will driver further long-end yield compression
Reconciling P- and Q-calibration with path-dependent volatility
A mixed approach designed to improve calibration robustness is presented
BNP Paribas outlines path for FICC algos, SDP and AI projects
After taking on new Cortex and AI roles, BNPP’s Razaq sets out the bank’s expansion plans and new tech projects
Major US banks’ equity collateral surges to record $140bn
Stocks overtake Treasuries as fourth-largest OTC collateral type
DB USA’s cleared OTC notional surges eightfold in Q2
Revival of FCM propels Deutsche’s cleared OTC derivatives to fourth-largest among non-G-Sibs
Alphabet, Micron ramp up FX hedging
Tech pair leads FX derivatives surge in year to Q2, while notionals at Apple and Johnson & Johnson decline
Traders remain on alert as Kospi-KRW decoupling wanes
Negative equity-FX correlation normalises as vol subsides, but funds poised for future opportunities
Options vanna positioning echoes 2024 vol spike, banks warn
Extreme negative position could exacerbate vol response in US equity selloff
Critics say perps are all froth. The numbers suggest otherwise
Healthy open interest in perpetual futures with TradFi underlyings could threaten incumbent exchanges like CME and Eurex
Report once: will Esma’s €1bn reforms deliver the full picture?
Critics say plan to merge three reporting regimes will see scant returns, and won’t mesh with single-sided reporting
CFTC accused of ‘double standards’ on compute futures
Duffy questions ‘long review’ of CME’s contract when Kalshi already offers similar product
EU eases non-cleared margin rules for smaller players
New proposals aim to cut compliance and reporting requirements for phase five and six firms
Cross-border credit posts biggest rise since Covid
Derivatives claims on overseas NBFIs rise 16% to $2 trillion
Citadel, Millennium lead US funds to JSCC as JGB yields soar
Ten US funds represent 25% of client-cleared yen swaps at Tokyo CCP after CFTC relief
Chinese exporters step up FX sophistication
Onshore corporates traded record FX options volumes in June and are tapping experienced bank traders
The fundamental representation of pricing adjustments
A unified representation of derivative pricing adjustments is presented
Autocall ETFs set to triple, with products tied to gold and rockets
New market’s rapid expansion includes both defensive and high-octane offerings
ETF surge shows ‘worst-of’ autocalls have life in them yet
Assets in older structures have caught up with vol target versions that looked set to dominate
AI compute has a governance problem
As exchanges move to launch compute futures, Vishal Gupta argues that the real test is not product innovation, but whether governance can keep pace