Derivatives
Polynomial upper and lower bounds for financial derivative price functions under regime-switching
In this paper, the authors present a new approach to bounding financial derivative prices in regime-switching market models from both above and below.
Swap books swell at big US banks despite lower risk profile
Total OTC derivatives notional among the eight banks is $222 trillion – a 2% increase on the quarter
New York’s MTA to issue first SOFR muni bond
Transport authority for New York City joins five other issuers in using new US benchmark
House of the year, Korea: Hana Financial Investment
Asia Risk Awards 2018
Japanese corporates boost forex hedging
Notionals traded highest since end-2012
Corporates fear EU will spike Emir Refit reporting relief
Delegated reporting threatened by policy-maker objections to use of foreign banks
Goldman adds bilateral derivatives as rivals cut back
Citi and JP Morgan cut bilateral derivatives exposures by 10% and 2% respectively
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
Preparing for the initial margin phase-in
Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how…
UK derivatives values grow on forex activity
Foreign exchange contact values leap £0.4 trillion in second quarter
Bank of America grows derivatives, bucking G-Sib trend
Total derivatives exposures jumped 4.2% quarter-to-quarter to $299.4 billion
EU drops reporting relief for exchange-traded derivatives
Exemption removed from Emir Refit, but Parliament moots future legislative changes for ETDs
Counterparty risk builds at Bank of America, JP Morgan
Higher portion of RWAs attributable to more risky derivatives and repo counterparties
CVA gain bolsters JP Morgan trading revenues
$302 million of first half trading revenues attributed to credit valuation adjustment
Brevan Howard is first non-bank caught by margin rules, sources say
Non-cleared exposures thought to exceed $1.5 trillion
World Bank completes first SOFR bond hedge
The largest SOFR swap trades to date were executed on August 13
Margin 'big bang' to catch tenfold more UK firms, FCA estimates
Risk Quantum analysis suggests around 50 firms will be captured by margin rules in total
New Chinese forex crackdown to hit corporate hedging
Despite new reserve requirement, dealers say ‘maturity’ in risk management is here to stay
Swaps end-users struggle for clearing access – survey
Thirty of 44 derivatives end-users cite difficulties finding and maintaining access to CCPs
Dealers and FCMs split on clearing incentives
72% of client clearing firms say leverage ratio a clearing disincentive
Q&A: EU’s Hübner on Brexit and future of equivalence
Top EU lawmaker discusses improvements to equivalence, contract continuity and clearing relocation
Money funds get S&P green light to buy SOFR notes
After many funds were shut out of first SOFR issuance, agency has now approved new benchmark
EU banks toughen terms for OTC trades – ECB
Credit conditions for SFT and OTC derivatives tightened over past three months
In ongoing drive, Shell slashes debt by almost $8 billion
Gearing ratio down 220 basis points year to year