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Latest on Derivatives
Once bitten, twice shy: UK traders wary of inflation reform
Proposals to fix RPI methodology flaws are back on the agenda, but traders have been caught out before
CCP risk panels aren’t listening, banks say
Simmering resentment surfaces as two banks insist committees be more responsive to clearing members
Autocall dealers wary of Nikkei volatility surge
Dealers caught in danger zone as losses lurk on upside and downside spikes
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
Natixis’s €260m hit blamed on big books and Kospi3 product
Rivals say French dealer grew business too quickly – with leveraged version of Korean index one source of pain
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: SOFR swaps slip, futures flip
Swaps data: SOFR volume and margin insights
Our Take
The low flow blow
CDSs get subjective