Hedging
CME eyes retail growth with new weekly FX options
Exchange hopes to capture massive demand from the sector
Barclays frees up £4.5bn RWAs after overissuance clean-up
The bank unwound hedges that safeguarded its buyback of mis-sold US notes
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
Corporates rush to hedge emerging market currency risks
Falling forward points have reduced cost of hedging further drops in Chinese renminbi
‘Perfect’ VKO trades knock the smile off vol
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
Pensions eye collateral facilities to buffer market turmoil
Arrangements would allow funds to exchange riskier assets like corporate bonds for cash or gilts
Fragile liquidity puts markets in ‘danger zone’
Some measures of trading conditions are as poor as in 2008
Chill winds blow for Capitolis’s equity swap platform
Fintech’s effort to revive off-balance-sheet funding runs into market and regulatory turbulence
How requests for quotes could amount to ‘insider information’
Lawyers say Esma’s incoming pre-hedging guidance could make firms liable for multimillion-euro fines
Pension funds brace for end of BoE intervention
Funds boost collateral buffers by as much as 300bp, as October 14 deadline looms
Pension funds foresaw margin meltdown (a decade ago)
Years of warnings went largely unheeded. Questions may now spread to post-crisis clearing and margining project
Talking Heads 2022: Rates market ruckus
Inaugural interview series looks at how sell-side traders are adapting to a world of surging inflation and rates
Shifting rates throw bond investors off balance
Dearth of bond liquidity forces some traders to offload positions – but, as ever, others are waiting to pounce
StanChart tackles US-China rates divergence
Talking Heads 2022: Policy changes have upended correlations in emerging markets, says rates head Lettich
Banks face capital hit on broader energy market collateral
Non-standard clearing house margin for energy trades would increase RWAs unless relief granted
XVAs boost Helaba trading income but inflate hedging costs
Expense from non-trading hedges reaches highest since at least 2016
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities
BMO takes C$983m loss on Bank of the West merger hedges
Temporary inversion of yield curve hit swaps safeguarding target’s fair value
Goldman’s rates traders have been crowd-watching
Talking Heads 2022: Steepener unwinds in sterling were “canary in the coalmine”, says rates trading co-head
Should you hedge or should you wait?
New paper introduces quantitative framework for optimal FX hedging
ING’s market RWAs jump 30% as FX positions breach waiver limit
Increase arose from stricter EU rules under which FX exposures qualify as structural hedges
How Citi is handling topsy-turvy rates markets
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies