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Latest on Derivatives
New inflation calculation clips buy side
Was it a rebasing of the European index, or just a change? Mismatch cost inflation receivers 16bp
Initial margin ‘big bang’ could be deferred, says EC’s Pearson
Senior EC official says smaller firms “really struggling” to comply with margin rules
German CDS switch creates credit-linked note mismatch
Note issuers fear losses after relabelling of swap contracts creates subordination discrepancy
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: IM grows in listed and OTC markets
Fixing floaters: how the 10y10y rate can save FRNs
Our Take
Citi scrape could change FXPB skyline
The low flow blow