Hedging
FX swap volumes set to rise on China bond index inclusion
Traders expect greater use of FX derivatives if FTSE Russell adds bonds to WGBI this week
Barclays led UK banks in growing CDS book through Covid shock
Dealer saw credit derivatives notionals balloon £58.1 billion over the first half
Interest rate derivatives house of the year: Goldman Sachs
Asia Risk Awards 2020
Equity hedges bolstered Axa through Covid crisis
Economic hedges contributed €425 million to H1 income
The FX swaps client clearing comeback
Chatter about the service is picking up again, but significant hurdles remain
Rival SOFR conventions splinter loan market
Diverging approaches to calculating interest payments sow uncertainty and hedging concerns
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
ABN Amro crushes CVA charge with index hedges in H1
Risk-weighted assets for CVA drops 48% in six months to end-June
Non-cleared euro swaps market wrestles with discount rate switch
Buy-siders prepare for valuation change from move to €STR
FX swaps platform aims to cut out the banks – but not entirely
Peer-to-peer newcomer FX HedgePool targets asset managers’ month-end hedging activity
Mind the tax when hedging TRS
New model gauges whether deals are still profitable, after taxes
Beware of cliff edge in Libor fallbacks
Derivatives users may see a sudden change in the value of payoffs when Libor ends, Coremont analysts write
Bargain-hunting equity hedgers turn to FX
Currency options are cheap relative to stock index puts, but correlations are uncertain
Risk-free rates may fail liquidity test for hedge accounting
Experts fear trades referencing SOFR and €STR will not be eligible for hedging relief
Funding adjustments in equity linear products
How tax asymmetries and Tobin tax affect the pricing of total return swaps
RMB hedging comes onshore as regulators liberalise FX market
Foreign investors turn to CNY for bond hedges as rule changes spur more competition
Prudential filters crimp some banks’ own funds, boost others
Two banks saw CET1 climb more than 5% at end-2019 through the EU’s valuation adjustments
Jittery ringgit spurs options growth in Malaysia
Local corporates seek new hedging tools, but longer-term options liquidity lacking
Rise of ethical swaps brings hedging questions
Banks ponder how to offset risks of ESG derivatives – or whether hedging is even desirable
Risk doesn’t wait for market close
Many market participants rely on end-of-day batch systems to perform analytics and, in the current environment, they may see significant negative impacts on their business. Leila Sadiq, front-office risk head of product at Bloomberg, explores how the…
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
A tale of two (or three, or four) models
Performance measure based on quality of replicating portfolios outperforms ‘P&L explain’, new paper claims
Quantifying model performance
Quality of replicating portfolio is used to measure performance of a model