Bid/offer
FVA – Time to go asymmetric?
Despite being introduced over six years ago, there is still no market consensus on how to calculate funding valuation adjustments. One point of contention is whether to use the same funding curve for borrowing and lending (symmetric funding) or to use…
The low flow blow
Traders can’t make flow rates business hot again, but their colleagues in tech and ops might be able to
Dealers suffer in euro rates desert
Analysis shows collapse in swap and bond bid/offer spreads, as traders say business is “unsustainable”
Euro swap bid/offers edge to decade lows
Mifid II and extreme competition raise profitability concerns for euro rates market-makers
Dawn of CVA threatens hedging woe for Japan banks
Japan’s thinly traded CDS market will make CVA hedging challenging, dealers say
Addressing the eurozone’s ‘lemons’ problem for NPLs
State-aided securitisation of riskiest tranches could prompt purchases of loans, write ECB staffers
Hidden price pressures grow in euro swap market
Clients face wider bid/offer spreads, as dealers struggle to find liquid hedges
Trading strategies via book imbalance
Predicting equity and futures tick by tick price movements
Derivatives house of the year: JP Morgan
Risk awards 2012