Derivatives
Isda chair on the swaps market’s power shift
A decade ago, dealers held 18 of 19 board seats – but crisis has forced trade body to change
Swaps market off pace for IM rules – Isda survey
Participants want to see more standardisation in collateral and custodial contracts
The rapid evolution of compression: Keeping pace with optimisation activity
Sponsored forum: Capitalab
CFTC’s Pan: PFMIs not a template for global regulation
US regulator has previously warned EU supervisors not to unpick hard-won equivalence agreement
Bridge to nowhere: gaps in Treasury G-Sib bankruptcy plan
US bankruptcy-first approach needs more thought on emergency liquidity, say experts
Isins for swaps need ‘complete rethink’, say platforms
Three trading venues say Mifid II transparency objectives diminished by identifier choice
FCA: Libor contract changes shouldn’t trigger margin rules
Moving from Libor to an RFR shouldn’t force margin requirement on legacy non-cleared trades, says UK regulator
Equity derivatives now biggest consumer of initial margin
Fragmented product set is 1.3% of OTC notional but attracts more margin than rates and forex
Brexit: banks take the ‘no’ out of novations
Swaps clauses stop end-users blocking counterparty switch, making it easier to move trades to EU affiliates
JSCC to aid yen Libor transition with new OIS swaps
Market participants sceptical launch will boost liquidity enough to help move off yen Libor
Waiting for Giancarlo
CFTC no-action relief to be codified, but big changes on de minimis and position limits still distant
BoE to authorise EU CCPs ‘at 00:01’ on Brexit day
Central bank hopes plan to preserve access for EU CCPs will be reciprocated
Softened EU swap stay still threatens margin hike
Moratorium cut to two days, but pre-resolution stay could make EU a non-netting jurisdiction
Distributed ledger technology in payments, clearing and settlement
This paper examines how DLT can be used in the area of PCS, and identifies both the opportunities and challenges associated with its long-term implementation and adoption.
Central counterparties and systemic stability
The paper is the text of a keynote address by Marc Bayle de Jessé presented at the conference.
Foreign exchange correlation swap: problem solver or troublemaker?
A correlation structure is an important element in pricing products such as correlation swaps
Optimal equity protection of Solvency II regulated portfolios
In the context of equity investments, this paper examines the relationship between the cost of acquiring protection (in the form of put option) and the reduction of capital charges that it entails. The paper develops the idea that Solvency II regulations…
Podcast: Brigo on derivatives, AI, machine learning and more
Genuine artificial intelligence remains "very, very far away", says Imperial College's Brigo
Asia Risk Congress 2017: The new XVA challenge
Video interview: Fabio Mercurio, Bloomberg
People news: SocGen promotes Garnier to head sales
Plus: Citi's Chen joins Deutsche; Mizuho hires corporate derivatives head; and more
Core-periphery model of bank networks called into question
Researchers find multiple, asymmetric cores in interbank market, posing different systemic risks