Court will rule on compromise agreement between bankrupt city and swaps counterparties
Delta-one desks say their arbitrage business has been cut back – contributing to an unprecedented collapse in implied equity index repo rates. Inventory pressures created by bank regulation are being...
Libor rigging has been seen as a rates market problem, but it also tainted the foreign exchange market – forcing banks to pick and choose even more carefully as they add extra staff for a surge in currency...
In this paper (in English and German), Genscape has analysed Combined Heat and Power or Central Heat and Power (CHP)production in the German market, the challenges it raises for market participants, and the key steps required to address the fundamental lack of transparency in CHP plant production.
More Derivatives articles
The two biggest clearing houses for interest rate swaps, CME and LCH.Clearnet, have different margin models – which may affect the prices charged to clients by clearing members. It could also affect the contest between the two venues. Joe Rennison reports...
Early users of CME’s deliverable swap futures contracts fear the products will be taxed as loans in some situations. And with features of those contracts being used in other new instruments, it could become an issue for the entire industry. Tom Osborn...
Esma acknowledges industry concerns over delegated reporting provisions and confirms it is considering a one-year delay
The industry has started work on a standard margin model for uncleared derivatives trades, but it faces some significant obstacles and a tough deadline. Luckily, there already seems to be some consensus about the direction to take. By Laurie Carver
NDOs in testing on Medusa platform as some market participants begin to consider alternatives to deliverable FX options that could be more easily cleared
Traditional methods for the stochastic alpha beta rho model tend to focus on expansion approximations that are inaccurate in the long maturity ‘wings’. However, if the Brownian motions driving the forward and its volatility are uncorrelated, option...
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
Japan, 24th Apr 2014
Japan, 24th Apr 2014
USA, 30th Apr 2014
USA, 8th - 9th May 2014