Futures
Ice Clear Europe posts $1.2bn margin breach in Q3
In total, 55 margin breaches reported at end-September 2018
BIS slams Nasdaq Clearing for risk management failures
Clearing member says it is giving notice to quit bourse, citing concerns over concentration of risk on venue
Euro term rate likely to be OIS-based, says RFR group chair
Committed quotes “the most viable methodology”, but some insist rate creates new risks
Interest rate ETD volumes tick up in Q3
Longer-dated contracts push total open interest higher
Dynamic delta option strategies in Nordic electricity markets
This paper examines how electricity options traded in the Nasdaq OMX Commodities Europe financial market are priced compared with their corresponding futures contracts.
From trend follower to trailblazer
New fund targets commodities others are “scared” to trade – from asphalt to glass panels
Growing an institutional footprint in Asia’s ETF market
Hong Kong Exchanges and Clearing (HKEX) explores the burgeoning impact of institutional investors in Asia’s exchange‑traded funds (ETFs) market – which is demonstrating the potential to establish itself as a global force – with a focus on the rapid…
CFTC finds harmony harder than it sounds
James Schwartz and Chrys Carey, of counsels at Morrison & Foerster, explore the impact of a recent Commodity Futures Trading Commission white paper – including how its author’s suggestions would affect cross-jurisdictional application of its regulations …
Search for term Libor replacement faces twin obstacles
Forward-looking rates based on futures too contrived, but OIS market lacks liquidity
IBA launches term risk-free rates
Forward-looking one-, three- and six-month Sonia rates to be based on Ice futures data
Black was right: price is within a factor 2 of value
CFM’s quants verify Fisher Black’s intuition on mean reversion still applies today
Transitioning beyond Libor: Some key considerations
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, explores the transition to Libor alternative rates and the impact on curve construction practices
Is Libor going away?
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
Interest rate ETD open interest drops in Q2
Open interest in options and futures contracts combined dropped 12%
Spotlight on auction in €114m Nasdaq clearing blow-up
Four-member auction may have turned 39% margin breach into huge default fund loss
JP exec calls for derivatives margin changes
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Pensions and insurers give new impetus to Asia’s ETFs
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
On the spatial hedging effectiveness of German wind power futures for wind power generators
In this paper, the authors consider wind power utilization in thirty-one different locations in Germany.
Asian LNG derivatives trade surges on increased hedging
Expectations grow that a long-awaited Asian gas derivatives market is emerging
Ice Clear Europe had a top margin breach of $91 million in Q1
A total nine breaches are reported, averaging $14 million
The Iberian electricity market: analysis of the risk premium in an illiquid market
This paper analyzes the risk premium in the base-load monthly futures contracts traded on the Iberian electricity market (MIBEL) between July 1, 2006 and March 31, 2017.
An analysis of intraday market response to crude oil inventory shocks
This paper investigates the intraday market activity of West Texas Intermediate (WTI) crude oil futures around the release of the US Energy Intelligence Agency (EIA) report, looking at how prices respond to inventory shocks.
Bitcoin futures growth could prompt bank ratings downgrades
Fitch, S&P, Moody’s contemplate impact of bitcoin futures on credit ratings
Regulator calls for term Sonia as transition talk ramps up
Schooling Latter throws scepticism on Libor reform efforts