Derivatives
Rate of centrally cleared CDSs hits record high
Multi-name products drove increase in first half of 2021
OTC derivatives amount rose 5% in H1
While notional amounts were up from end-2020, gross market values fell 20% across all instruments tracked by the BIS
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
LCH to clear swaps linked to embattled BSBY rate
Risk USA: SOFR surge eases concerns over Bloomberg’s credit-sensitive Libor alternative
Nomura nets ¥3.8 billion from CVA and DVA gains
Windfall offsets previous quarter’s loss more than three times over
VAR model update cuts NatWest’s market RWAs by 26%
Market RWAs fell from £10.9 billion to £8 billion in Q3 following regulatory approval for a VAR update linked to Libor cessation
Liquidity valuation adjustment costs JPM $235m
Tweak to derivatives book weighs on the bank’s fixed income revenues
EU banks’ derivatives exposures jumped 36% in H1
Top banks added €235bn since December, amid switch to SA-CCR and a new leverage ratio template
US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
Mifid’s derivatives open access poses ‘dire consequences’
Diminishing support for CCP open access ahead of European Commission review
Early SA-CCR adoption to lop 120bp off Morgan Stanley’s CET1 ratio
The planned switch is set to increase the bank’s RWAs by between $35bn and $45bn
Asia moves: BIS appoints new chair for Asia council, VP Bank expands Asia leadership, and more
Latest job changes across the industry
Barclays looks to woo CCPs with CDM prototype
Plan to save billions in post-trade costs relies on the creation of central data utilities
Clear out: inside the equities takeover of Citi’s FCM
Clearing unit is being reshaped to support equities growth push
Interest rate derivatives house of the year: Deutsche Bank
Asia Risk Awards 2021
BNP Paribas leads EU banks on repo exposures
French bank increased securities financing transactions by €66bn in the first half of the year, the most among the bloc’s top lenders
Deep learning profit and loss
The P&L distribution of a complex derivatives portfolio is computed via deep learning
Bank-backed futures utility criticised as too ambitious
Osttra’s Joanna Davies urges industry to look for “quick wins”
House of the year, Hong Kong: Crédit Agricole
Asia Risk Awards 2021
BNP hits top spot for FX options
Counterparty Radar: French bank ousts long-time leader Citi as biggest dealer for mutual funds
Santander’s CVA charge jumps 94% in Q2
Among the other EU systemic banks, higher capital requirements also at SocGen, ING, Crédit Agricole and UniCredit
Interest rate ETD volumes up 40% from 2020 nadir
Shorter-dated contracts push total open interest higher
StanChart’s CVA charge up 19% in Q2
Higher capital requirements also at Barclays, Lloyds and NatWest, with HSBC the only outlier among top UK banks
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future