Hedging
How China’s equities intervention caused a quant fund quake
Popular leveraged market-neutral trade crumbled after government stepped in to support major indexes in February
TLTRO hedge unwinding bill tops €1.2bn at BNPP, SocGen
Exit from swaps tripped up by ECB’s tightening marred banks’ 2023 throughout
Digging deeper into deep hedging
Dynamic techniques and GenAI simulated data can push the limits of deep hedging even further, as derivatives guru John Hull and colleagues explain
FX losses mount after Argentina’s devaluation
Citi, Adidas among those taking hits totalling over $3.3bn in Q4 as dealers cite lack of hedging tools
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
Basel’s cherry-picking toughens IRRBB shock scenarios
European banks want higher outlier thresholds to offset higher confidence level in new standard
Westpac fined over interest rate swap pre-hedging
Court finds against Australian bank for “unconscionable” behaviour, amid calls for a broader guidance around the practice
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
Joint S&P 500/VIX smile calibration in discrete and continuous time
An arbitrage-free model for exotic options that captures smiles and futures is presented
Undeterred, hedge funds bet on euro swap steepeners
Expected rate cuts and pension reforms are driving steepener flows, but large pension funds may not be finished hedging at the long end
Uncertain rates outlook poses challenge for corporate FX hedgers
Hedging programmes may need a revamp as EM/G10 rates differentials narrow
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
Derivatives house of the year: JP Morgan
Risk Awards 2024: Response to regional banking crisis went far beyond First Republic
How corporates are tooling up for FX risk
Unstable markets have forced corporate treasurers to adopt whizzier methods for managing currency exposures
Swap dealers look internally to ease SOFR basis headaches
Traders are using their own banking units as a new outlet for reducing SOFR-versus-term SOFR risk
Exchange rate risk management for contractors within a hybrid payment scheme: a case study in Punta del Este, Uruguay
The author proposes methods for how contractors may attempt to mitigate exchange rate risks in hybrid payment systems and validates these with empirical data from a hypothetical project.
HSBC’s rate-hedge reset to generate $1bn bond loss
Unwind of lower-yielding bonds costs $578m in Q3, with another $400m expected by year-end
Hedging of financial derivative contracts via Monte Carlo tree search
This paper applies the Monte Carlo tree search as a method for replication in the presence of risk and market friction
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
RBC’s credit derivatives book grows fourfold on market-making push
Notionals of credit protection sold and purchased have ballooned 236% and 382% respectively since October 2022
Asset managers offer tailored LDI to smaller pension schemes
Minimum AUM for customised hedging slashed from around £400m to £75m
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
How Chenavari is adapting to an uncertain macro regime
Talking Heads 2023: Fund chief Loic Fery eyes rebalancing between public and private credit strategies
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space