Derivatives
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
Why the survival of internal models is vital for financial stability
Risk quants say stampede to standardised approaches heightens herding and systemic risks
Eurex squashes butterflies with Stir incentives
Rebate caps on low-risk strategies flatten mid-curve bulge in €STR contracts
Large banks safer for CCPs than they get credit for
Plentiful pre-positioned liquidity softens the blow of resolution, new research argues
JP Morgan, Eurex push for DLT-driven collateral management
The high-stakes project could be a litmus test for the use of blockchain technology in the capital markets
Option market-making and vol arbitrage
The agent’s view is factored in to a realised-vs-implied vol model
Legal battle over Italian swaps drags on, frustrating dealers
Despite banks claiming victory in London over disputed interest rate swaps, parallel Italian proceedings could delay payouts
Nasdaq leads push to reform options regulatory fee
Proposed rule change would pare costs for traders, raise them for banks and defund smaller venues
Development banks team up for FX hedging push
Banks such as EBRD and World Bank club together to improve emerging market funding tools
AI and Trump tariffs spur hyped-up dispersion trade
Popular vol strategy pays off in January despite highest entry costs on record
TD, Goldman make strides with Ucits in FX forwards trades
Counterparty Radar: JP Morgan AM notional crossed $100 billion threshold in first half of 2024
Margin standards are here – and clearing firms aren’t happy
Clearing members complain that latest transparency proposals would force them to act as middlemen by providing margin simulation tools for clients
Osttra to launch Treasury clearing middleware
Mid-year delivery expected for system that aids credit checking for repo trades