Multi-asset capabilities and risk recycling allow the bank to bring hit solutions to the market
Stock market falls steer clients away from traditional equity focus
Taiwan insurers shun structured products amid low volatility and rates
Expanded forward volatility
The low-rates navigator
Exploring constant maturity asset swaps
CMS: covering all bases
The financial crisis revealed most dealers had near-identical exposures in exotic derivatives markets – whether in credit, interest rates, equity or inflation – leaving them unable to exit or hedge their positions when markets tanked. How have traders...
Banks have reported huge profits this year in fixed income, with swaps desks benefiting from flows off the back of sovereign and corporate debt issuance. Exotic desks, in contrast, have seen a substantial decline in investor interest. Peter Madigan reports
A sudden inversion of the euro interest rate curve in June caught dealers and investors by surprise, causing losses for those that had put on curve steepener trades. Dealers rushed to hedge their short gamma positions, forcing the curve to invert further...
The price of a constant maturity swap (CMS)-based derivative is largely determined by the value of swaption volatilities at extreme strikes. Fabio Mercurio and Andrea Pallavicini propose a simple procedure for stripping consistently implied volatilities...
CMS spread options have been just about everywhere this year, with investors keen to take a view on the shape of the yield curve. But a wide variation in pricing has sparked speculation that some banks may not be modelling these products accurately. ...
NEW YORK - The U.S. securities industry will wind down Phase 1 of industry-wide business continuity planning (BCP) tests later than expected and will begin Phase 2 in the third quarter of next year, confirm officials who are taking a lead role in the...
A group of US senators yesterday introduced legislation, called the Energy Market Oversight Act, that seeks to restore the Commodity Futures Trading Commission’s (CFTC) authority over online and bilateral energy trades and give the Federal Energy Regulatory...
Sempra Energy Trading, the Connecticut-based gas, power and petroleum dealer, has bought the gas trading book of Michigan-based CMS Energy for $17 million, a Sempra spokesman confirmed today.
The Korean Swaps Dealers Association (Kosda) plans to launch a benchmark constant maturity swap (CMS) fixing index in December, according to Seung Won Hwang, head of derivatives marketing at Citibank and co-chairman of Kosda.
Michigan-based CMS Energy may exit the energy trading business after it found that round-trip trades were undertaken by the company to raise CMS Marketing, Services and Trading's profile with existing and potential clients.