Derivatives
US banks’ OTC derivatives climb to new highs amid tariff woes
Notionals up more than 7% in largest Q2 jump on record
Skewing the correlation in local and stochastic volatility frameworks via copulas
A copula-based model to capture correlation skew in multi-asset derivatives is presented
UniCredit shed €976bn of OTC derivatives notionals in 2024
Italian bank posts sole decline among EU peers through trade compression
Euro Stoxx 50 rebalance hits dividends
Muted futures response as triple substitution sees high-yielding Pernod replaced by zero-div Argenx
Future proof: can FMX-LCH platform prevail?
A year into FMX Futures Exchange, Treasury futures volumes are low, and firms aren’t cross-margining
Large US banks pile up CVA charges amid tariff shock
JP Morgan’s CVA risk-weighted assets saw largest jump in second quarter since Covid-19
Danske shrinks CVA capital charges 44% after hedge revamp
Credit protection buying spree helps cut capital requirements to lowest level since 2014
Altice CDS auction may debut lock-up tweak
Separate industry proposal would make permanent a cash settlement fallback
US bank CCP default fund contributions climb to record $90bn
G-Sibs’ exposures soar 48% over 18 months with Wells Fargo quadrupling its stake
Can vendors and CTAs escape the CFTC’s clutches?
Withdrawal of Sef perimeter advisory may provide greater flexibility for new breed of crypto tools
Derivatives players divided over 24/7 trading
For some, round-the-clock markets are inevitable. Others see “enormous risks”
Jive Investments quicksteps towards hedged returns
Brazilian fund manager uses combo of options and forwards to push down hedging costs compared with plain NDF strategy
FMX set to extend trading hours for rates futures
New schedule matches CME’s hours, but some worry about clearing mismatch
Numerix strikes Hundsun deal as China pushes domestic tech
Homegrown tech initiative – ‘Xinchuang’ – a new challenge for foreign vendors
For variation margin payments, cash is no longer king
Dealers are being pressed to accept corporate bonds and even equities as collateral for non-cleared trades
Global OTC derivatives jump €72trn in 2024
Europe, UK, Canada and China hit record highs, while US banks pull back
LCH plans Q4 launch for FCM-style clearing
UK clearing house will be first to offer Europe’s new agent model as Eurex faces tax hold-up
Digital asset derivatives: unlocking growth through regulated trading and clearing
The broader market trends driving institutional adoption before examining regulatory developments, risk management and the role of central clearing
BoE takes subtle leverage snipe at CCP cross-margining
Margin offsets might increase risk, but could also encourage more central clearing
Deutsche Bank takes AutobahnFX on the open road
Proprietary trading platform sets out new workflow-based approach to collaborating with venues
Esma sounds out industry for ways to cut reporting burden
Markets watchdog asks consultative groups for ideas to simplify reporting rules
LCH to expand access to FMX futures clearing
Clearing house is awaiting regulatory approval to allow client clearing via FCM affiliates
Wells Fargo’s commodity book hits record size after 36% surge
Notional growth far outpaces Wall Street heavyweights
Frustration grows over ‘messy’ active account rules
Isda AGM: Less than two months until deadline, firms seek clarity on threshold calculation and scope of exemptions