Derivatives
Automatic implicit function theorem
New technique can improve use of adjoint algorithmic differentiation in calibration problems
Nomura’s swaptions volume jumps in Q2 on Pimco trades
Counterparty Radar: Japanese bank triples size of US mutual funds book despite market contraction
Lag in the SOFR-linked non-linear derivatives market: three barriers to transition
Risk.net explores three themes in SOFR non-linear derivatives discussed by experts in a webinar sponsored by Numerix
European pension funds must start clearing next year – EC
Exemption preventing pension funds from mandatory clearing will come to an end permanently in June 2023
HSBC claims top FX forwards spot as US banks fall back
Counterparty Radar: Morgan Stanley slips for first time since Q2 2021 amid wider volume decline
Bypassing consent may aid CCP porting – report
CPMI-Iosco report says clearing houses cannot reasonably accommodate client preference; brokers favour rule book harmony
XVAs boost Helaba trading income but inflate hedging costs
Expense from non-trading hedges reaches highest since at least 2016
EU Parliament creates multiverse of SA-CCR outcomes
Some MEPs want to ease rules further than EC draft; others want return to undiluted Basel text
Credit checks, what credit checks? How crypto lending ate itself
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
Optimal exercise of callable bonds
Citi quants and structurers present a term-structure model for callable bonds' work
How Citi is handling topsy-turvy rates markets
Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
Time to shine: corporate FX’s surprise glow-up
Corporate FX enjoys its time in the sun as currency headwinds spark corporate hedging needs
Pick a lane: Anna DSB to rival CDM coded swaps reporting?
Dual machine-executable rules are set to create choice – and maybe bifurcation – for swaps reporting
Buy-side retreats to ‘dirty’ CSAs amid collateral crunch
Repo market fears prompt insurers and pension funds to revert to bond collateral
BNP Paribas’ CVA capital charge hits record high
Risk-weighted assets for potential drop in value of derivatives instruments reached €6bn in June
Getting the jump on pricing dividend-protected derivatives
Morgan Stanley quants show how to avoid mispricing corporate options and convertible bonds
GFMA proposes disruption settlement framework for FX
Russian ruble close-out pain triggers calls for voluntary multilateral pricing framework
Return of volatility revs up FX options market
Macro disruption hikes volatility for eager dealers, however liquidity and spread compression remain a concern
‘Are we nearly there yet?’ Banks navigate ESG loan accounting
Lenders ask standards boards for guidance on how rules should be applied
At SEB, CVA charges diverge from Nordic peers
Bank’s credit valuation adjustment RWAs kept rising in Q2
PGIM leans into bought credit options, further boosts Barclays
Counterparty Radar: US mutual funds added $25 billion in net new positions in Q1 with purchased protection rising
Will last look disclosures come to FX derivatives?
JPM and NatWest have published their swaps and options last look windows – will others follow suit?
Linking performance of vanilla options to the volatility premium
A framework to account for vanilla options' performance in trading strategies is presented
Mutual funds dialled up bullish bets with stock options in Q1
Counterparty Radar: Market contracted by $3.9 billion as US managers decreased sold calls