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Latest on Derivatives
Clients feel forgotten by Giancarlo’s swaps trading plans
Industry says wider Sef mandate ignores reality of dealer-to-client market
First SOFR term rate coming in 2020
Staff at the New York Fed are working on a series of backward-looking averages
Banks use machine learning to ‘augment’ corporate sales
Big banks are embarking on massive projects to tie up machine learning and big data to sell better to clients
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 volume and margin insights
Swaps data: volumes up amid volatility
Our Take
Calling out autocallable pricing
You don’t need to sacrifice accuracy for flexibility