Hedging
ECB grants post-Brexit reprieve on large exposures limit
Exemption for intra-group exposures to UK will be preserved pending a decision on equivalence
ETF options: the market’s latest credit hedge
Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
Majority of EU funds’ CDSs are ‘naked’ exposures
Of more than 4,000 CDS positions assessed by Esma researchers, 71% were uncovered
Markets search for FX factor as rates fall flat
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
Margin rules snare FX options users
US banks forced to post margin on ‘naked’ trades, with buy-side firms soon to follow
Regulator says Covid has accelerated China’s reform agenda
CSRC vice-chair wants US firms to help develop onshore futures for risk management
Strike a pose: deal contingents back in vogue after mid-year slump
M&A revival breathes life into deal contingent trades, but elevated risk keeps prices high
Funding pain prompts calls to rehome FVA
Dealers push to move derivatives funding costs out of P&L following March’s outsize losses
Botched copy: Esma delivers cut and paste pastiche of Trace
Mifid transparency mishmash misses key aspects of US system it emulates, say dealers
Machine learning hedge strategy with deep Gaussian process regression
An optimal hedging strategy for options in discrete time using a reinforcement learning technique
Investors weigh merits of ESG hedging
Opinion divided over proposed tool for transferring risk of non-sustainable activities
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
TSE outage throws structured notes into tailspin
Trading shutdown on October 1 disrupted observation dates for some structured products
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