Latest on Derivatives
Ion: after the hack, the clean-up
Some clients now using Ion systems again, but synchronising data with CCPs could take days
Chinese snowball revenues melt away
Securities firms see falling revenues in the index-linked trades, but struggle to replace their profitability
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
Latest
Quotes
For the time being, we see more synergy with foreign securities firms rather than competition
Jian Liu, chairman of China's Shenwan Hongyuan Securities
The [USD/JPY] skew moved a lot, so the price for downside went up very significantly
Francesco Schiavo, global head of FX options at Credit Suisse
The best way to solve the issues regarding liquidity is to just get rid of the [pension fund] clearing exemption
Jasper Valstar, senior portfolio manager, Achmea
Editor's Choice
The final countdown: Europe’s pension funds get ready to clear
With clearing exemption due to end next June, EU funds try to learn from UK’s LDI mistakes
Big Figure
Japan basis blowout
A combination of surging inflation, a burst of rate hikes from central banks and a liquidity-starved market has disrupted even the simplest curve or futures-bond relationship. A glaring example is the blowout in the basis between 10-year Japanese government bonds and futures on June 15.
Read the full articleRisk Management
Ion: after the hack, the clean-up
Some clients now using Ion systems again, but synchronising data with CCPs could take days
Receive this by email
Comment
The real deal: the challenge of real interest rates
Is stochastic cross-currency basis a better way to model IM?
Our Take
Living with SA-CCR, one year on
ARRC’s trivial fight over term SOFR use