Derivatives
New frontiers
Innovative investment opportunities are helping to mitigate risk and satisfy Solvency II capital requirements as insurers face continued economic uncertainty. Frederic Morlaye, managing director, insurance and capital management solutions, Global Markets…
Ring-fencing to starve investment banks of deposit funding
BoE data estimates non-ring-fenced banks will have access to just 4% of household deposits
European banks vague on settled-to-market switch
UBS reported a cut in gross derivatives assets and liabilities attributable to STM of Sfr11.4 billion in 2017
VM changes cut billions from US bank swaps values in 2017
Effects on potential future exposure (PFE) mixed
CDS market structure transformed – BIS
Inter-dealer trades have retreated as CCP dominance grows
XVA swings boost US bank trading revenues
DVA change pares down dealers' derivative liabilities
Interest rate ETD open interest soars
Outstanding positions at end-March hit $105 trillion
Asia moves: Citi expands Treadwell’s role, Credit Suisse makes Australian appointments, and more
Latest job changes across the industry
US CVA charges over seven times higher than EU
Huge disparity appears to result from EU exemption for corporate trades
UK derivatives market continues to shrink
Gross market values lowest since December 2007
UK bank derivative balances a mixed bag
Mark-to-market derivative balances with UK entities deteriorate; improve with non-UK firms
Air freight: a new frontier for hedging?
Soaring demand and risk of volatility opens way for air FFAs
G-Sib swap portfolios reveal transatlantic divide
EU banks record 16% fall in non-cleared swaps, while US dealers see 9% growth
US bank swaps books rebound after G-Sib reckoning
Total OTC derivative notionals across eight G-Sibs grow $28 trillion in first quarter
Goldman, JP Morgan get riskier in Q1
Each bank could face an extra 50 basis points of capital add-on without remedial action
Duelling repack platforms find common ground
Standard documentation initiative mulls shared SPV model as founders seek to join rival
Citi continues cutting derivatives exposure
Total is down 16% from 2016, limiting impact of US leverage ratio
RBA’s Debelle warns against buy-side Libor complacency
Central banker also says Australian dollar swaps may gradually migrate to cash rate if other Ibors end
Local laws may save legacy swaps from Brexit migration
Exemptions from local authorisation may open a backdoor to servicing UK-EU contracts after Brexit
Euribor can stay if reforms succeed – ECB’s Holthausen
Regulator also sees no clear favourite in array of Ibor fallback approaches
Rethinking XVA sensitivities – Making them universally achievable
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Equity hedges protect Munich Re from vol spike
Net derivative liabilities fall 95% year-on-year