Derivatives
Isda proposes oversight group for CDS process
New governance committee the “first step” in credit determinations revamp
BNP Paribas’s CVA risk charges swell 56% on Basel III overhaul
Impact of new formulas is largest yet for a G-Sib
Dollar dip erodes AmEx’s overseas hedges by $198m
FX swaps shielding foreign equity stumble as greenback retreats
US Basel equivalence questioned as EU patience wears thin
MEPs say unfaithful US implementation of Basel III could trigger review of third-country capital treatment
CFTC takes red pen to swaps rules, but don’t call it a rollback
Lawyers and ex-regs say agency is fine-tuning and clarifying regulations, not eliminating them
Mitigating risks with derivative ETFs
The evolution of synthetic ETFs, regulatory impacts, and balancing leverage and transparency
HK warrant issuers optimistic on listing cost cuts
Inclusion of listing reform in second budget speech raises hopes for action on ‘expensive’ fees
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
Patience pays off for XVA desks in wild week of tariff swings
Dealers avoided knee-jerk reactions that could have caused credit spreads to widen further
Index CDS trading nearly doubles as tariffs spook market
Turnover ebbed in single-name contracts as iTraxx and CDX volumes climbed rapidly last week
Treasury selloff challenges back-office systems, data feeds
FIS and Trading Technologies suffered downtime during peak activity
US tariffs spur rush to European dividend futures
Turnover hits €3.5bn in three days as traders brace for fallout on corporate balance sheets
US banks held record $78bn in equity collateral before market crash
Stocks made up 11% of dealers’ OTC derivatives collateral at end-2024 – highest ever reported
Tariffs volatility prompts rush to re-hedge EUR/USD options books
Banks left scrambling to buy vol as spot surged beyond expectations
Euronext plots bond futures foray
Exchange group plans to launch mini futures on European sovereign bonds, aimed at retail investors
FRTB may bite harder for Europe’s CVA modellers
Farther reach of advanced approach and lighter load on total requirements mean limited takeaways from Canada and Japan’s implementation
Commodity price insurance, an alternative to swaps?
ChAI founder eyes metals and power for expansion after selling first hedges for recycled materials
AmEx derivatives book grows on interest rate swap surge
Receive-fixed swaps dominate hedging portfolio as clearing rate spikes
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
Inside the company that helped build China’s equity options market
Fintech firm Bachelier Technology on the challenges of creating a trading platform for China’s unique OTC derivatives market
US dealers’ OTC clearing rates plunge to multi-year lows
Cleared notionals down $24.3trn in Q4 amid year-end compression push
CCP models vulnerable to Trump risk
Volatility of ‘will he, won’t he’ tariff strategy could confound clearing house risk models
Citi sees sevenfold spike in derivs exposure cash outflows amid data upgrade
FX data enhancement triggers record-breaking projected cashflows, but net position remains largely unchanged
QIS 3.0 ‘bonanza’: hedge funds pivot from options to swaps
Pod-level scramble for max-loss exposure gives way to central risk books seeking overlays