From collapsing equity repo rates to footnote 88, and from the leverage ratio to new clearing house liquidity rules, the year has been full of surprises, many of them unpleasant. By the end of 2013, an...
As interest rates rise, big fixed-rate receivers such as pension funds will all slide out-of-the-money at the same time, potentially triggering huge margin calls. Some are already trying to soften the...
More Derivatives articles
The economic value of derivatives is influenced by funding costs, because the costs imply windfalls or shortfalls to bondholders on a bank’s default. But the resulting adjustments depend not just on the funding spread but on the funding strategy deployed....
In the Basel III world, traders know their business must deliver a target return on equity, or risk being shut down – but working out the capital cost, or benefit, of a trade at inception is so difficult that banks only have approximations to guide...
Derivatives pricing and expected exposure models must be backtested as a basic regulatory requirement. But what does this mean exactly, and how can it be used to reserve against model risk? Lee Jackson introduces a general backtesting framework for market-calibrated...
Banks hope for leverage exposure relief after interest rate swap clearer fixes clash with CFTC rules
A rapid expansion in type and amount of RMB structures traded in 2013 signals how the Chinese currency is going mainstream. But dealers say the real test will come when the US starts to raise interest rates
Results of an industry study reveal the scale of the liquidity burden that would fall on CCPs clearing physically delivered forex options – but a net settlement mechanism could reduce the number by 73%
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
Hong Kong, 1st - 31st Dec 2014
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Australia, 12th - 13th Aug 2014
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USA, 20th - 21st Aug 2014