Derivatives
JSCC and the future of clearing and settling yen-denominated trades
The Japanese Securities Clearing Corporation (JSCC) explores how market participants can benefit from a wide array of yen products while accessing robust risk and margin management frameworks with a high level of transparency
Macquarie’s quadruple award win highlights its diverse offering and commitment to clients
Macquarie brought home four wins at the Energy Risk Asia Awards 2022 – a testament to the diversity of the high-quality solutions and services it offers its clients
Putnam adds $18bn to interest rate swaps book
Counterparty Radar: Market for mutual funds and ETFs grew to $677 trillion in Q4 2022
Integrating ECL onto a stress-testing platform: credit risk characteristics
How credit loss in the ECL process can leverage changes in the credit risk profile of a portfolio during a stress scenario
TMX eyes spot crypto trading launch next year
Exchange group would become first in North America to offer direct access to spot market in digital assets
Integrating ECL onto a stress-testing platform: scenarios
Strategies for producing stress-testing ECL values that comply with IFRS 9, as well as CECL standards
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
Esma still wants more tools to tackle clearing crises
Even after Emir 3 draft, EU regulator would like more powers over both foreign and domestic CCPs
BMO, TD and US Bancorp hit by out-of-the-money goodwill hedges
Derivatives meant to offset dilution of capital in acquisitions turned loss-making as yields temporarily slumped
Reading between the fines: a deep dive into financial institution penalties in 2022
Fenergo’s latest research report on financial institution penalties in 2022 is available now. Key analysis shows that fine values in Apac were just 0.77% of what they were in 2021
SA-CCR lobs $3.6bn onto DBS’s RWAs
New approach’s 1.4x multiplier meant capital charges for derivatives surged last year
Ion: after the hack, the clean-up
Some clients now using Ion systems again, but synchronising data with CCPs could take days
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
EBS ventures into crypto market with upcoming NDF
The move could be a big step forward for mainstream adoption of crypto NDF trading
OTC share of EU gas derivatives surges to 25%
Energy price cap may supercharge flight from ETDs and affect CCPs’ ability to manage risks, Esma warns
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
Derivatives house of the year: BNP Paribas
Risk Awards 2023: Betting on an equities expansion and rates re-org delivers early win for global markets
US retail funds further slash repo borrowing
Counterparty Radar: Manager activity in Q3 2022 lowest in nearly three years; BofA surpasses JP Morgan as top dealer
Franklin Templeton takes single-stock options top spot
Counterparty Radar: Market for US mutual funds and ETFs expanded by $4 billion in Q3
Scenario construction: taking a standardised approach to benchmarking risk exposures
A common obstacle faced by operational risk managers seeking to measure the threat posed by risks is the lack of data to help them assess the stakes
Capital Group spearheads mutual fund trim of IR swaps books
Counterparty Radar: Manager cut 70% of its position in Q3 as space shed roughly $174 billion in holdings
PGIM cuts corporate CDSs as US funds shed volume
Counterparty Radar: Morgan Stanley retains top dealer spot in single-name CDS trades for mutual funds
Merrill Lynch hoovered up $1.5bn of client margin in October
Required funds for F&O rose 66%, bucking trend across major FCMs
Booming US fund swaptions market boosts Morgan Stanley
Counterparty Radar: Nomura cements position as leading foreign-owned dealer in the space