Price discovery
BlackRock exec pushes for FX swaps Clob
FX head Chaudhry says all-to-all venue could boost TCA, price discovery and spur algo trading
FX primary venues seek reversal of fortunes
EBS and Refinitiv fight to restore market share – but bilateral trading may be too entrenched, dealers say
Industry warns SEC bond disclosure plan may backfire
Extending rules for OTC equities to 144A bond issues could result in less price transparency
Germany fights for neobrokers’ PFOF rights
Leaked document shows Germany wants to protect ‘anti-competitive’ practice
Don’t apply OTC equity rules to bonds, says SEC’s Peirce
Republican commissioner warns proposed transparency rule could deter electronic trading of bonds
Banks warn it’s too early for an OTC swaps consolidated tape
Market participants say Isin difficulties need to be resolved in order to create a usable tape
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
Clunky crypto markets serve quants well – can it continue?
Poor price discovery presents opportunities for systematic traders in super-trending markets
Algos make market thinner, but not less liquid – BIS
Trading robots change market microstructure, central banks conclude; new liquidity metrics may be needed
Mifid’s pre-trade transparency is ‘a failed experiment’
Market participants say benefits of altering pre-trade transparency rules are small
Electronic bond trading stalled in volatile markets
Bid/offer spreads on bond platforms spiked in March and the buy side struggled to trade
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Fed Funds Futures in a Post-ZIRP World
As the FOMC returns to more active management of its key target rate, Federal Funds futures have experienced dramatic growth.
Dealers suffer in euro rates desert
Analysis shows collapse in swap and bond bid/offer spreads, as traders say business is “unsustainable”
Mifid drives ETF trading on to platforms
Best execution rules push Tradeweb ETF volumes up 32%, but smart order routers may alter trend
Transparency premium: insurers seek swaps reporting reform
US insurers claim their bespoke swaps are being front-run, raising hedging costs
Index publishers’ woes endanger market transparency
Price reporting agencies are an integral part of modern commodity markets
PRAs under attack amid market manipulation investigations
Price reporting agencies (PRAs) are facing intense scrutiny from regulators, amid renewed allegations that their widely used price indexes are being manipulated by unscrupulous energy traders. Will the PRAs be forced to change their ways? Alexander…
Dealing with funding on uncollateralised swaps
Many banks are now using their own cost of funding as a discount rate when pricing non-collateralised swaps trades. How are banks dealing with the difference in funding rates when quoting derivatives prices, and could this influence a client’s choice of…
Funding valuation – a clear and present future
In this roundtable, three leading swaps dealers discuss the changes in derivatives pricing – and in particular, the use of OIS as a discount rate for collateralised derivatives trades.