Derivatives
Hong Kong regulator to monitor investor IDs on Stock Connect
SFC move designed to clamp down on misconduct and promote city as China risk management hub
Monthly swaps data review: basis swaps galore
Data shows how less well-traded OTC instruments performed through September
Asset price bubbles and risk management
The purpose of this paper is to review the literature on asset price bubbles to study the impact that the existence of bubbles has on standard risk management methodologies.
MTF bilateral trading protocol offers Mifid arbitrage
Nordic banks to use protocol to benefit from longer deferral period
NSFR consultation: industry awaits derivatives fix
Possible fixes under consultation don’t go far enough, say banks
Industry renews push for triBalance clearing exemption
Dealers using Emir review to request carve-out for optimisation trades
The bald truth about collateral haircut modelling
HSBC’s Wujiang Lou says parametric modelling of haircuts has many advantages over historical VAR
Broker rankings 2017: survival of the biggest
Having a larger firm to stand under as compliance costs soar could be the best bet for the year ahead
Energy and commodities voice broking will never die
OTC markets may be under siege, but they won’t disappear, writes Mark Earthey
Day of the Mifids: what happens on January 3?
Continued ambiguities in the rules could hit European market liquidity at the start of 2018
Sberbank appeal win will help Russian swaps market – lawyers
Moscow court’s ruling in $1.1bn dispute sends “very positive signal”, but fears of similar cases remain
Final US position limits rule will take ‘at least a year’
CFTC expected to draft a narrow list of contracts in scope
Banks warn clients of possible unwinds as VM deadline nears
Clients on old CSAs told they face unwinds and trading bans unless repapering talks underway
Using derivatives to forecast oil scenarios
Generating probability-weighted oil price scenarios from traded derivatives prices can help risk managers in the industry
Asia investors eye fund-linked structures amid US rate rises
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
FCA’s Libor plans a ‘reality check’ for loans, bonds, RMBS
Chair of US benchmark group says surprise announcement will push rate reform beyond swaps
Japanese banks eye phased CVA introduction
Working group reports “growing need” for valuation adjustment but cherry-picking fears persist
Mifid II cost disclosures pose risk to liquidity, warn banks
Dealers hope standardised methodology for some clients could mitigate impact
Large corporates unconvinced by Emir reporting gift
Corporates ask for opt-out from Emir reporting changes proposed for their benefit
Banks tap equities and FX staff for fixed-income fizz
BAML, HSBC, RBC, StanChart among banks transferring e-trading know-how
Accounting for initial margin under IFRS 13
Chris Kenyon and Richard Kenyon show why initial margin should be part of the fair value of a derivative
Isda: EU position limits to snag few OTC commodity contracts
Narrow definition could exclude certain trades and lead to netting problems
Buy side unimpressed with Mifid II cost transparency rules
Clients question value of receiving dealers’ swaps profit margin data