Derivatives
At Bank of America, trading revenues get a $300m DVA boost
But credit and funding valuation adjustments deducted $492 million from other income
Managing a derivatives portfolio through turbulent markets
Steering a portfolio of non-linear derivatives, such as options and more exotic products, is challenging at the best of times. Market risks change as markets move and time passes, risks offset in complex ways and proxy hedging is common. In this feature,…
JP Morgan takes $951m XVA hit
Funding spread widening blamed for majority of Q1 hit
Eurex seeks Hong Kong clearing licence
Bourse has Greater China in its sights after Japan and Singapore licences approved
Shale firms pump hedge books for liquidity lifeline
Lucrative hedge portfolios offer promise of cash but unlocking residual value won’t be simple
Libor webinar playback: spotlight on derivatives
Panellists from Deutsche Bank, LCH, Numerix and Tradeweb on transition timelines, volatility and discounting
Uncleared margin – The changing needs of buy-side firms
Raf Pritchard, head of triResolve, discusses the initial margin calculation and collateralisation challenges for firms coming into scope under phases five and six of the uncleared margin rules
FX vol revived by Covid-19 – but for how long?
Traders split on whether virus impact, or central bank responses, will prove most powerful
Libor webinar playback: spotlight on bonds
Panellists from Lloyds, RBC Capital Markets and TD Securities discuss efforts to switch to new lending benchmarks
Libor webinar playback: spotlight on loans
Panellists from McKinsey, the LSTA and UBS discuss efforts to switch lending to new benchmarks
Seeing red over blue-chip swap in Argentina’s NDF fiasco
Emta protocol salve aside, peso settlement rate snafu is a warning for emerging market FX derivatives
Pre-cessation Ibor picture gets clearer
As the derivatives market has accepted the impending transition away from interbank offered rates, attention has turned to how best to manage it. Philip Whitehurst, head of service development, rates at LCH, explores how the clearing house is working…
Hedge funds cut short US Treasury futures exposure – CFTC data
Short open interest held by leveraged participants down 23% from 12-month peak
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
China regulator to outline legal thinking on close-out netting
Coronavirus could delay things, but authorities are taking small steps on a thorny issue
More NDF changes could follow Argentine chaos
Lat Am contracts may be tweaked to avoid repeat of contentious peso freeze
Systemic US banks shed more than $7trn of non-cleared swaps in 2019
Cleared notionals stay flat on the year
Vanishing hedges hurt HK warrants issuers
Traders suspect big losses after Hang Seng gapped down at start of wild week
Of rats and men: would member compensation imperil CCPs?
CCPs and members split over whether compensation after default losses is moral hazard or fair
Equity, Treasury collateral builds up at US G-Sibs
Fair value of equity collateral rises 19% year-on-year
Outsmarting counterparty risk with smart contracts
A digital transaction system developed by quants at DZ Bank could slash margin costs for derivatives
OIS trading in sterling, euro and Aussie dollar soar
Euro overnight index swaps notional volumes hit €192 billion on March 1
StanChart’s derivatives exposures climb 42% in 2019
UK bank’s leverage ratio falls 30 basis points year-on-year