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Latest on Derivatives
Sefs stall, but more liquidity may be coming
The hoped-for competition among Sefs never was. But banks and prop traders might be facing off on swaps
Dealers dip toe into Sonia swaptions market
NatWest and HSBC print trades, Barclays offers prices
CME-LCH basis collapses amid rates downturn
Brexit and recent LCH initial margin raise could also be factors
Latest
Quotes
We stopped offering a lot of structured products payoffs because we feel uncomfortable selling them with misleading Kids
Senior structurer at a major dealer
Natixis was very innovative in gaining market share ... [but] they found an innovative way to lose money
Hong Kong-based structuring head at a rival dealer
When people get smacked across the head a few times, they tend to prep a bit more or even over prep
Head of treasury at a European bank
Editor's Choice
Dealers consider ditching FRAs prior to Libor’s death
Forward rate agreements won’t work with backward-looking rates; banks explore single period swaps instead
Big Figure
Margins of error
Clearing house CME reported two margin breaches totalling $79 million in the first quarter of the year. The CME attributed the shortfalls to increased volatility, without identifying either the parties or the positions involved. The bigger of the two breaches, $47 million in size, was the largest since public disclosure began in 2015.
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Comment
Swaps data: Fed’s change of tack on rates fuels volume rise
Sovereign spreads and Target2 anomalies
Our Take
The machines are coming for your pricing models
Trading venues could help enforce the forex code