Derivatives
Eurex may copy CME swap futures
German exchange seeking legal advice on scope of Goldman Sachs patent behind CME's interest rate swap futures
Institutional demand for Topix options outweighs supply and is creating basis risk for dealers hedging their positions
In the US, banks with more than $10 billion in assets will be required to clear from June 10 – and the smallest of these institutions may not be attractive clients. Some are struggling to be ready in...
Don't get left behind
How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Derivatives articles
‘No panic’ as Nikkei volatility spikes, dealers say
Traders say no sign of short volatility hedging after Nikkei 225 plunges
Committed quotes an answer to Libor problem?
The Wheatley Review decided to stick with a patched-up Libor submission methodology, but some regulators want it replaced with a mechanism based entirely on transactions. The compromise may be to use committed quotes. Lukas Becker reports
Swaps push-out: Banks hoping for Fed fix
Since it was signed into law three years ago, banks and lawyers have been expecting a fix to the Dodd-Frank Act’s swaps push-out rule. But with six weeks until it comes into effect, expectation is turning to hope – and banks are warning they may not...
LPI swaps with a smile
Inflation models tend to be poor at capturing the high sensitivity of Limited Price Index (LPI) swap payoffs to year-on-year smiles and correlations, and consequently miss market quotes. Yann Ticot and Xavier Charvet propose a simple framework for pricing...
Piecing it all together
The aspiration to globally aggregate OTC derivatives data to determine systemic risk remains a distant dream
CFTC approves Sef rules - and eyes block trade controversy
As agency approves long-awaited final rules on Sefs, CFTC staff say they could strip exchanges of freedom to set futures block thresholds
Uridashi knockouts push Japan dividend futures to outperform Nikkei
Inverted yield curve provides rich pickings for investors
Using market and credit risk analytics to strengthen performance
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Using market and credit risk analytics to strengthen performance
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