Platforms on parade
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 blamed. Matt Cameron reports
Going forwards (checking backwards)
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...
Simple, but sensitive
Living on borrowed time
Let there be light
Living on the hedge
Futures rates should always exceed those of the corresponding forward rate agreement, finance theory states. So why did the Euribor markets contradict this in May, with a so-called negative convexity adjustment? Laurie Carver reports
Europe’s credit valuation adjustment exemption was the outcome of a protracted legislative debate, but it may prove to be the end of a chapter, rather than the end of the story. As US banks protest and supervisors review the issue, a number of problems...
The US Commodity Futures Trading Commission (CFTC) tried to regulate exchange of futures for swaps (EFS) transactions in 2004 and again in 2008. Then it tried to ban contingent EFS in 2010. All these attempts failed. Now the CFTC is investigating EFS...
A combination of hard work, caution and some luck saw the industry through the second of the three US clearing deadlines on June 10. But while it was a triumph for many, it proved testing for some. Joe Rennison reports
The Basel Committee decided earlier this year to include collateral outflows arising from changes in derivatives values in bank liquidity requirements. Their suggested approach, however, has worried some in the industry. By Michael Watt
New clearing rules are not on the agenda of most insurers in Asia, but as derivatives use increases they could become more relevant. Blake Evans-Pritchard reports
The move towards OIS discounting is proving difficult enough for banks in US and European markets but firms in Asia are facing the added difficulty of a dealing with multiple currencies
When third works
Targeting the little guy
Indexing in the dark
Take your partners
Final execution rules in the US have given swap execution facilities the power to determine what products they will be allowed to trade. The entire industry appears to agree this is a terrible idea – including the trading venues themselves. Peter Madigan...
Preparing for the burst