Derivatives
Italian job: the real UK stock trading heist
Italy has not been seen as a candidate to pick up business from the UK – until now
Buy-side physical FX clearing at LCH faces scepticism
Lack of clearing mandate and settlement wrangles mean demand for putative service remains weak
XVAs ate $401m of JP Morgan’s revenues in 2020
Credit valuation adjustment on derivatives cost $337 million alone
All roads lead to Bergamo: Euronext eyes new home for its tech
Market participants fear a “horrible” relocation project and more room for latency arbitrage
Repo exposures fell at BofA, surged at JP Morgan in Q4
Bank of America’s SLR improved to 7.2% by end-December
People moves: new CRO at LCH, changes at Natixis investment bank, and more
Latest job changes across the industry
Putting the H in XVAs
Barclays quant proposes methodology for factoring hedging costs into derivatives valuations
Credit derivatives traded volume up 15% in 2020
Week ending March 1 was the most active in dollar-denominated swaps
SOFR swaps traded volume hit new high in January
Notional volumes surpass $222 billion
CCP open access will be ‘integral’ part of Mifid review
EC official says politicians will need to decide whether to further delay open access
Hedging adviser of the year: Rothschild
Risk Awards 2021: restructuring effort helped Arqiva to slash its derivatives exposures by 40%
Clearing house of the year: Eurex Clearing
Risk Awards 2021: clearer’s Prisma margin model proves its mettle in year of market tumult
Flow market-maker of the year: Citadel Securities
Risk Awards 2021: Palm Beach bubble allowed the firm to maintain crucial roles during March panic
UK Treasury opens door to ditching Mifid open access rules
Champion of competition in derivatives clearing may throw in the towel
CVA charges concentrated among top banks in Europe
Crédit Agricole, Deutsche Bank, Barclays, Commerzbank and Societe Generale account for 31% of total CVA across 135 banks
Brazil’s BM&F in 1999: a central counterparty near-failure case?
The authors argue that, despite some concerns on systemic risk expressed by high-level Banco Central do Brasil officers, the (potential) defaults of Marka and FonteCindam would not have been sufficient to lead BM&F to a failure.
Direct clearing could solve CCP concentration risk
Allowing more clients to self-clear can reduce CCPs’ reliance on a few firms, says ex-Chicago Fed adviser
UK and EU diverge on contractual swap stays
UK scraps pre-resolution stays, while EU regulators could opt for even stricter measures
SA-CCR proves a bitter pill for US banks to swallow
Dealers concerned new regime will punish some business lines with rise in risk-weighted assets
