Derivatives
Eurozone G-Sibs’ swaps notionals fall €9.6trn in 2018
Deutsche Bank’s portfolio shrinks 16% year-on-year
UK G-Sibs add $11trn of OTC notionals in 2018
HSBC added the most derivatives notionals in dollar terms, increasing outstandings by 26%
Libor will not transition quietly – What you need to know now
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, discusses the scope of the transition from Libor to alternative reference rates – also known as risk-free rates (RFRs), including their…
Banco Santander’s CVA charge drops 20% in Q1
Three EU G-Sibs cut capital requirements, three increase them
Default fund costs dominate US G-Sibs’ cleared swaps charges
Default fund contributions accounted for 62% of the eight banks’ RWAs
Short-term bets push interest rate option volumes higher
Open interest in short-dated contracts surges 23% from December to March
UK public sector offloads swaps
Gross derivatives outstanding with public entities stood at £5.9 billion in Q1
Over four years, US non-cleared swaps books get riskier
Risk density of non-cleared trades has increased under standardised approach
CDS sold by US banks down $55bn in Q1
JP Morgan cut CDS notionals the most, shedding $36.8 billion from its portfolio
JP Morgan cleared swaps balloon $8trn in Q1
Total G-Sib cleared notionals climb 23% in three months to end-March
G-Sibs add $34trn of OTC notionals in Q1
State Street expands swaps book by 57% in first quarter
LCH veteran Davie set to depart
Clearer looking to fill new role in head of SwapClear and listed rates
Systemic risk scores surge at six US G-Sibs
JP Morgan and Goldman Sachs bump up against higher-risk surcharge thresholds
Lack of buy-side repo backstop a concern – Citi repo head
Growth of client repo books could create liquidity crunch, says Grigorios Markouizos
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
China Minsheng and SocGen team up for quant index product
CMBC Macro 1 signal index attracts $580 million as investors adapt to products without performance guarantees
How leading firms are preparing for the shift from Libor
Driven by declining liquidity in the unsecured interbank lending market, firms face a significant amount of planning in the lead up to 2021. Engrained in the very fabric of financial service providers, there is a warranted degree of uncertainty and…
Energy Risk Awards 2019: The winners
BP and Engie pick up two awards each, while BNPP takes the coveted derivatives house of the year
No more delays on Mifid open access, EU regulator says
European authority confirms July 2020 start date, reigniting argument over market stability versus competition
All along the watchtower – Surveillance tools against market abuse
Surveillance tools against market abuse are enjoying a technological revolution in analytics, while anxious supervisors are also closing in on market practices. Risk.net hosted a webinar in association with NICE Actimize to analyse the threats and…
SEC may allow wider cross-margining of single-name CDS
Banks want to cross-margin single-name CDS against options, indexes and cash products
Top UK banks' CVA charges up 10% in Q1
Barclays' and Standard Chartered's requirements increase over 20% each
Making technology count in a C/ETRM world
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
OTC derivatives amounts sank in H2 2018
Fair values down 6% over second half of 2018, 72% from peak