Features/Derivatives
Data fragmentation hampers oversight
The G-20 had hoped the reporting of OTC derivatives trades would give regulators an opportunity to spot the build-up of systemic risk. But domestic reporting requirements, a lack of standard data formats...
When a small group of firms became subject to the first US clearing mandate in March, outstanding notionals for clearing-eligible products temporarily dipped. With a larger group of firms set to start...
Firms used to be able to throw anything they liked into the hypothetical derivative that is used to test cashflow hedge accounting, but standard-setters are embracing a purer approach. It has already caused...
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Standardised OTC swaps spice up futurisation fight
Last month saw the launch of a template for a new standardised interest rate swap product – an attempt to protect swap market liquidity from the threat of futurisation. The first product based on the template could be launched within weeks, but even...
Clearing chaos: US OTC industry braces for June deadline
With March 11 receding from view, all eyes have turned to the second stage of the US clearing roll-out. No-one knows precisely how many derivatives users will be caught this time, but estimates go as high as 2,000, and dealers, clearing houses and middleware...
Libor/OIS spread challenges insurers' risk management programmes
Moves to central clearing of many derivatives will mean hedge assets and margin will be valued using the overnight interest rate. Yet insurers’ liabilities are still valued with reference to a Libor rate. For those insurers that are significant users...
WGMR proposals raise procyclicality fears
Proposals on the margining of uncleared over-the-counter derivatives trades have been revised to dampen the potential liquid impact. But dealers warn the rules are still dangerously pro-cyclical and will lead to huge numbers of disputes. By Matt Cameron...
The struggle for consensus on European clearing addendum
The move to central clearing poses a huge documentation challenge. A standard template has been developed for European derivatives users – but will this solve the problem? By Duncan Wood and Lukas Becker
Swaps vs futures: OTC market speaks out
Swap futures have been pitched as economically equivalent to over-the-counter swaps, but with a much lighter regulatory burden. But some over-the-counter participants claim the rules create an unfair and unjustified arbitrage opportunity. Joe Rennison...
New standard CSA could be hurt by WGMR rules
Some dealers have started trading under the standard credit support annex, but a requirement in new uncleared margin rules could subject many trades to a haircut, potentially causing a re-think. By Matt Cameron and Nick Sawyer
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