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...
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...
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...
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More Derivatives articles
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...
Rule change could see growth in swaps indexed to federal funds rate
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.
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