Derivatives
CCP interoperability drive poses margin challenges
Chicago Fed researchers point to problems around issue of concentration margin
David Rutter: gambling on blockchain and a Treasuries revolution
Former BrokerTec chief says technology can transform the financial markets
Eurex describes its new ISA Direct platform
Sponsored video: Eurex Clearing
Pricing options on trend-stationary currencies: applications to the Chinese yuan
This paper derives a closed-form version of a model with a trend-stationary, stochastic volatility exchange rate, using both a linear and quadratic trend.
India’s public sector banks warming to CSAs
Bankruptcy law reform could prompt a shift in attitude at State Bank of India
SEC’s fund leverage cap needs revising but the idea is sound
Simplicity is welcome – up to a point
Mifid II transparency rules pose swaps pricing challenge
Isda AGM: dealers fear pre-trade transparency could lead to front-running of hedges
Outperforming benchmarks with their derivatives: theory and empirical evidence
This paper looks for optimal explicit constructions and empirical tests in regards to pricing and hedging derivatives with coherent risk measures.
Buy side targets leverage cap in SEC derivatives plans
AQR says its managed futures fund could suffer larger drawdowns under new rule
Smaller firms get boost on timing for non-cleared margin
Counterparties will be able to offset extra collateral calls, says source close to EBA
End-users shun ‘broken’ US swap market
Negative swap spreads forcing hedgers to look for alternative instruments
UK narrows carve-out for swap bail-in clauses
Non-EU derivatives contracts will have to be amended, say lawyers
Traders shocked by $712m CVA loss at StanChart
Bank’s new methodology has been used by some rivals for more than a decade
CCPs must be able to haircut initial margin in a crisis
Initial margin is the best source of liquidity for CCPs in a crisis, argues Irish central banker
Banks save €3.5bn in swaptions compression drive
Capitalab removes €1.3 trillion notional, cutting capital requirements
Pensions industry says permanent Emir exemption not enough
European Parliament and UK regulator push for carve-out, but industry unimpressed
Isda would create protocol for swap rate ‘big bang’
Tool to allow for legacy contract amendments in case of OIS rate change
Managing XVAs: from whack-a-mole to Mortal Kombat
Joined-up effort to tackle XVAs reflects growing impact of derivatives valuation adjustments
US dollar/yen basis blows out to –100 on negative rates
Bank of Japan policy adds to domestic banks’ dollar funding dilemma
Autocallable issuers avoid pain despite HSCEI collapse
Dealers say Korean autocall pain subdued as volatility stays low
Japan’s Quick takes on MarkitWire with domestic affirmation service
Japanese language service targets domestic regional banks
Mixed industry reaction to Moody’s CCP ratings
Clearing members say narrow definition of default may limit ratings’ usefulness
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
HSCEI autocallable hedging hitting forex market, say dealers
Dealers flock to Hong Kong dollar options and forwards markets amid depeg fears