Derivatives
Hong Kong looks for digital response to trade reporting burden
New swaps reporting framework will include more fields than requirements in US or Singapore
RBC’s CVA capital charge up 22% since FRTB adoption
Bank eschewed revised standardised approach in favour of simpler yet constraining formulas
Breaking with Behnam: inside the dysfunction at the CFTC
Policy and personality clashes have left the chairman isolated and slowed rulemaking activity to a crawl
Equity vol convexity selling gains momentum
Risky hedging strategy is attracting interest but can investors learn from past convexity blow-ups?
Continued decline of the one-stop shop
Dealer Rankings 2024: Only two banks make the top 10 across all rankings tables – others have focused on vertical dominance
Often fluid. Not always liquid
Dealer Rankings 2024: On the buy side and the sell side, the make-up and depth of OTC mini-markets can change rapidly
Skylight finds an opening in consensus pricing
Service provider claims key factors differentiate its own offer from the market leader’s
The squeezing middle: data shows Europeans taking on US foes
Dealer Rankings 2024: Barclays, BNP Paribas and Deutsche grab bigger share of the pie
Cleared rate for CDSs dropped in H2 2023
Record five-percentage point decline driven by multi-name contracts
OCC introduces new intraday risk charge covering zero-day options
Revised measures “a nightmare” to implement, says one broker-dealer
FX books bulge in quant investment field
Carry strategies attract bulk of interest; banks eye growth in volatility, intraday and emerging market replication
Isda pushes to ‘decouple’ Simm calibration from model changes
Emir 3.0 prompts effort to separate risk-weight revisions from methodology updates
Sustainable bond markets miss an options trick
A derivatives mindset could boost lagging sustainability-linked market, argues climate think-tank
Citi halves swaptions book with US retail funds
Counterparty Radar: Mutual funds and ETFs cut exposures by 22% in Q4
Market for ‘orphan’ hedges leaves some borrowers stranded
Companies with private credit loans face punitive costs from banks for often imperfect hedges
As dispersion hikes in price, equity traders slice and dice
Banks tout alternative versions of relative value vol strategy, including reverse dispersion
Doubts dog equity dispersion as market grows up to five-fold
Some say $500 million vega notional – or more – in popular equity derivatives trades could be dampening volatility
Wells Fargo’s F&O client margin reached new high in January
Required funds up $380m, pushing FCM’s month-end figure past pandemic peak
BlackRock’s interest rate swaps notional climbs 20%
Counterparty Radar: US retail funds continued to add to their positions in Q4
Zero-day options: unique market dynamics and risk considerations
In a recent Risk.net webinar, experts discussed the growth and usage of 0DTE options, challenges in modelling their prices and risks, practical risk management issues and whether they pose systemic risks to the market.
Invesco more than triples size of its FX options book
Counterparty Radar: Manager’s portfolio exceeded $5bn notional in Q4
Derivatives funding: smart solutions for a complex environment
Eurex’s cleared repo and GC Pooling offerings are helping market participants overcome challenges in the funding, financing and collateral markets
Hedge funds push for transparency in credit determinations
Proposals include more disclosure around meetings and detailed rulings of credit events
JP Morgan names new co-heads of markets
Sippel and Thakur will lead a trading business that has been reshaped over the past 18 months