Derivatives
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
Pricing the transition of Scope 3 emissions
A framework to measure banks’ costs associated with carbon emissions is proposed
Apac banks put trust in pre‑trade
Amid tougher trading conditions, Apac banks are making greater use of pre‑trade analytics to inform their strategies and reduce risk. But how successful are these tools?
Morgan Stanley’s default fund contributions jump $1.9bn in Q2
Aggregate increase across US clearing banks pushes requirements to highest point since 2021
Isda proposes new central hub for critical notices
Trade body seeks industry feedback on one-stop shop for default notices and other critical comms; sceptics say the service is “not a universal solution”
Navigating IFRS 9: strategies for effective implementation and moving beyond
There has been a constant change within the landscape of financial reporting, and IFRS 9 has been proven to be a critical component.
RBC’s credit derivatives book grows fourfold on market-making push
Notionals of credit protection sold and purchased have ballooned 236% and 382% respectively since October 2022
Asset managers offer tailored LDI to smaller pension schemes
Minimum AUM for customised hedging slashed from around £400m to £75m
Energy Risk Asia Awards 2023: The winners
Winning firms demonstrate resilience and robust risk management amid testing times
Case study: OCBC bank scales business and mitigates risk with Numerix Oneview
This case study details how Numerix helped support the evolution and expansion of OCBC’s valuation activities, its move to the cloud and adoption of the Numerix Oneview platform as a managed service, and how the technology solutions provider has helped…
Using emerging technologies to improve the risk management function
This white paper discusses why capital markets firms need access to the most innovative technologies, real-time analytics, and timely and accurate data for better and faster decision-making in the risk function.
Adapting to economic uncertainty: internal audit’s journey
In this report, internal auditors in different sectors have shared their experiences and strategies, providing valuable insights for others facing similar challenges
Citi, JP Morgan slash $3tn of OTC notionals in Q2
Trimming of cleared portfolios bucks trend across top US banks
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
CFTC plan to relax MMF margin restriction sparks debate
Industry welcomes proposal to lift ban on repo-using funds as eligible IM, but some warn MMFs bring risks
JPM’s new EU arm is bloc’s 4th largest derivatives bank
Frankfurt-based dealer eclipsed homegrown G-Sibs in 2022 on several indicators
Managing Japanese interest rate risk and creating trading opportunities
With an anticipated rise in Japanese interest rates, 3-Month TONA Futures have attracted the interest of investors worldwide since debuting on the Osaka Exchange (OSE) in May. Kensuke Yazu, general manager for derivatives business development at OSE,…
Goldman’s Marquee is a gradual revelation
Multiple apps are being corralled into a sticky cross-asset ecosystem, updated with Python and cloud
Banks unravel data conundrum as FRTB implementations stall
This Risk.net rapid read survey report details how much progress banks have made in implementing FRTB and highlights the major challenges they face in gaining data insight, both for the SA and the IMA.
360° of climate: indices for every objective
This white paper explores a variety of climate strategy targeting objectives, including low carbon, fossil fuel-free and net zero to enable investors to respond to the risks and opportunities of the climate challenge.
The evolution of the fixed income tradable ecosystem: North American and European credit markets
Fixed income tradable indexes are designed to provide an efficient means to measure the bond market. This paper offers an introductory reference for these instruments and highlights their performance in recent market periods.
The dynamics of XVA usage and other themes that characterise trading in the energy markets
The application of XVAs for derivatives transactions, the need for sophisticated modelling and the growing application of machine learning are among six themes explored in this white paper – all of which significantly impact trading in the energy markets.
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures