Derivatives
Fortunes of VAR: dealers decry effect of war on risk models
European banks with large Russian derivatives exposures face risk of backtesting exceptions – and higher capital requirements
What’s up with the docs? Isda aims to set standard for crypto
Industry body looks to standardise digital derivatives documents, but some wonder if it is best placed to do so
Isda set to draft China netting opinion
Banks could be in a position to turn on close-out netting in China by third quarter
Banks turn to analytics playbook to take on FX platforms
Dealers aim to lure clients from high-fee multi-dealer platforms with improved investment analytics
HSBC, StanChart face capital hit on cleared renminbi trades
Lack of UK recognition for Shanghai Clearing House could prompt banks to reduce exposures
Capitalab co-founder quits firm
David Bachelier leaves BGC-owned compression venture after seven years
Optiver aims to gatecrash FX options private party
Dutch non-bank hopes to exploit shift to electronic markets in OTC options, following record $7bn trading day
OTC nickel contracts stuck despite trading resumption
Contracts still unable to settle using new prices, but Isda solution may solve the issue
Pimco, Franklin Templeton affiliates top for Russia derivatives exposure
Counterparty Radar: Funds had biggest long exposures to Russia across credit, rates, FX at end of Q4
‘Dead’ derivatives market leaves big Russia dealers unhedged
VTB and Sberbank face directional exposure to local corporates after mass unwinds by foreign banks
Russia sanctions throw derivatives market into disarray
Lawyers say western banks face illegality terminations; industry groups plan deliverable ruble workaround
Banks, prime brokers and trading venues shun ruble trades
FXPBs turn away derivatives bets as spot platforms block ruble trades and NDF fixings go dark
FX Markets Best Banks Awards 2021: CME Group and EBS secure wins in three categories
CME Group’s EBS business allowed all-areas access to liquidity at the time market participants craved it most: when the pandemic applied stress and uncertainty to markets and caused great swings in volatility
Bank of Mexico overhauls peso closing rate in fillip for derivatives
Dealers welcome changes which, they say, will iron out kinks in valuing swaps, forwards and other currency products
Bitcoin futures ETF loses 9% a year to fees and contango
Cost of rolling futures contracts from one month to another exacerbates ProShares ETF’s losses
CMC Markets’ 2021 technology drive
Richard Elston, group head of institutional sales at CMC Markets, discusses the highlights of recent technical developments, illustrating what that means for the company and its growing institutional client base
FX: a market in flux
Jens Quiram, global head of FX at Eurex, outlines how the changing nature of FX trading could open up new opportunities for market participants
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
EU’s IM model validation rules may put Simm in jeopardy
Draft RTS creates validation hurdles and cross-border conflicts, industry warns
China netting: industry raises concerns on cross-border trades
Filing requirement of new netting law could unfairly penalise trades from foreign banks
Bank FX teams eye slice of crypto derivatives action
Business heads increasingly confident that trading will reside in their patch
Phase five margin queues spur calls for custody revamp
Custodians urged to update “antiquated technology” ahead of threefold jump in phase six initial margin onboarding
Synthetic Libor gets cautious approval as swaps fix
‘Tough legacy’ solution could mop up $2.7trn-equivalent of non-cleared sterling and yen derivatives
Morgan Stanley bests Citi as top forwards shop for US funds
Counterparty Radar: A $30bn boost from Vanguard sends MS to top of Q2 charts