Hedging
Hong Kong stock slump hits CBBC desks
Surging volume and rising leverage expose issuers to gap risk on hedges
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
Let exchanges set position limits – CFTC commissioners
Agency lacks the resources to monitor limits, say Berkovitz and Quintenz
Balance-sheet interest rate risk: a weighted Lp approach
In this paper, the authors introduce a new interest rate risk measure that is a product of two factors: one related to the distance between assets and liabilities in the Lp-space of financial instruments, and the other linked to the performance of the…
IFRS 9 versus IAS 39: Opportunities in changes to hedge accounting
With financial reporting in a state of flux amid the introduction of several new accounting standards, many corporates may feel overburdened by the need to ensure accounting compliance to take full advantage of IFRS 9 from the point of adoption. Robert…
Is Libor going away?
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
Term versions of RFRs will work – FCA official
Schooling-Latter backs plan to build curve from swaps and futures; others have doubts
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
Managing adverse temperature conditions through hybrid financial instruments
This paper proposes temperature-based risk management using hybrid financial instruments built on weather derivatives.
Pensions and insurers give new impetus to Asia’s ETFs
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
On the spatial hedging effectiveness of German wind power futures for wind power generators
In this paper, the authors consider wind power utilization in thirty-one different locations in Germany.
World Bank completes first SOFR bond hedge
The largest SOFR swap trades to date were executed on August 13
New Chinese forex crackdown to hit corporate hedging
Despite new reserve requirement, dealers say ‘maturity’ in risk management is here to stay
In ongoing drive, Shell slashes debt by almost $8 billion
Gearing ratio down 220 basis points year to year
BBVA gets forex model update from ECB
Foreign exchange risk added €366 million in capital requirements in 2017
Asian LNG derivatives trade surges on increased hedging
Expectations grow that a long-awaited Asian gas derivatives market is emerging
Dealers slam ‘nonsensical’ treatment of forex derivatives
Proposal on US swap dealer threshold rekindles debate on definition of NDFs and window forwards
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…
No safety net for no-deal Brexit, warns BdE’s Alonso
UK banks should not rely on temporary rule waivers being granted in the event of a disorderly Brexit
Citi largest counterparty for Templeton currency hedges
Citi accounted for 23% of outstanding forwards at end-March
Hedging advisory firm of the year: Aegis Energy Risk
Energy Risk Awards 2018: Digital innovation pays off for US hedging advisory firm
European banks face forex volatility on bail-in ratios
Use of funding in foreign currencies creates new risk, especially in non-eurozone countries