Hedging
Bank risk manager of the year: Natixis
Risk Awards 2023: Revised risk management framework and front-office collaboration help bank withstand 2022 volatility surge
Derivatives client clearer of the year: BNP Paribas
Risk Awards 2023: When gas prices spiked, French bank provided much-needed credit to clients hit by jumbo margin calls
More EU banks will fail new IRRBB test as rates push upwards
Half of all EU banks could cross outlier threshold for new test of net interest income
Capitolis registers swap dealer in strategy refresh
Vendor’s SBSD registration may facilitate unique multi-seller platform for equity swap business
Uncleared, unrated CDS notionals boomed in H1 2022
Non-cleared trades up 21% in six months and 14% in twelve, BIS data shows
Pricing in the gap risk of mini-futures
Mini-futures need to be priced and hedged taking sudden jumps into account
PBoC deposit requirement hits FX hedging, again
Reinstated rule hikes forwards costs and dents volumes, but volatility sees corporate demand persist
Critical divergence in prices between Spikes and Vix after the Fed’s rate hike
In these uncertain times, when rates hikes and other structural drivers are giving rise to adverse market moves, reliable indicators of 30-day implied volatility are crucial
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
House of the year, Taiwan: CTBC Bank
Asia Risk Awards 2022
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
Credit derivatives house of the year: Credit Suisse
Asia Risk Awards 2022
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