Derivatives
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
Banks tout early roll dates for FX swaps as quarter-end looms
Asset managers open to more flexible hedging strategies since March turbulence, say dealers
CVA capital charges jumped 50% at systemic US banks in Q1
Goldman Sachs’ charge climbs 76% quarter-on-quarter
The Libor countdown – Focusing on derivatives and the impact of Covid-19
Considering the Libor transition is beyond the halfway stage, staying current with updates, information and insights are crucial to organisations’ preparation efforts. When it comes to derivatives, the route to the finish line is not evenly paved, but…
Interest rate swaps powered Q1 derivatives boom at top US banks
Rate derivatives notionals increase 22% quarter-on-quarter
Switching CCP – How and why?
As uncertainty surrounding Brexit continues and the impacts of Covid-19-driven market volatility are analysed, it is essential for banks and their end-users to understand their clearing options, and how they can achieve greater capital and cross…
A tale of two (or three, or four) models
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio
Margin calls on eurozone funds rose fivefold in March
ECB data shows some funds faced liquidity squeeze as VM calls flooded in
EU banks predict OTC trading terms will tighten – ECB
Almost one-quarter of surveyed lenders say conditions will deteriorate
Swaps books of top US dealers bulged in Q1
Citi increased derivatives exposures by $25.5 billion quarter-on-quarter
Experts find holes in funds’ argument for higher US VAR caps
Ex-SEC official says he would be “shocked” if agency raised proposed leverage limits on derivatives users
ING hit by €92m XVA loss
Credit trading business tagged for trading losses
Managing and mitigating operational risk in the Libor transition
In this webinar, industry experts discuss how, in the lead-up to 2021, firms are preparing for the operational implications of the Libor transition? They explore how their firms are adapting to alternative reference rates and mitigating the operational…
Extreme volatility – Rising to the fair valuations challenge
Capital markets firms of all sizes continue to grapple with the challenge of developing fair valuations for the illiquid and hard-to-value securities they hold. While this scenario isn’t likely to be resolved anytime soon, there are specialist providers…
Crédit Agricole, Natixis, UniCredit pummelled by XVA losses
Top banks take combined €207 million hit from valuation adjustments
China commodities regulation: time to end the turf war
Mishmash of regulations still govern China’s financial industry
UK banks’ derivatives books shrunk at year-end
The gross fair value of portfolios declined 22%
NatWest Markets’ CVA reserve swells £136m
Funding benefit and debit valuation adjustment help offset derivatives charge
XVAs take $346m bite out of HSBC’s trading profits
Derivatives valuation adjustment impact pushes trading profits down 49%
Credit Suisse takes $51m derivatives hedging loss
Net trading revenues down 47% on year-ago quarter
The SABR forward smile
Thomas Roos presents the expressions for the implied volatilities of European and forward starting options
At Bank of America, trading revenues get a $300m DVA boost
But credit and funding valuation adjustments deducted $492 million from other income