Derivatives
Time to talk about settlement risk
Quants are proposing netting or the use of CLS Bank to remove Herstatt risk in margined trades
Esma turns the screw on direct electronic access
Guidance thwarts narrower definition adopted by Eurex to help third-country clients
Banks calm on Eurex-LCH basis volatility
Past basis blowouts prepared banks for movements, say traders
SEC derivatives rule on the chopping block
Exposure cap for mutual funds likely to be scrapped, but segregation proposals may survive
Virtu’s bid for KCG stokes liquidity fears
Deal could result in less trading and lower exchange revenues
FCA: ‘wait and see’ if Mifid swaps rules are ready in January
Trading obligation consultation due by May, as industry urges clarity rather than speed
Forex swap margin treatment uncertain ahead of VM deadline
With one month to go, market participants are still unsure how to treat foreign exchange derivatives
Buy-side firms seek ‘urgent’ VM relief
Two-thirds of firms have not signed any CSAs that comply with the new rules
Indirect clearing rules too demanding, warn EU regulators
EBA and Esma call for clarity on capital relief for exposures to clearing members
IASB revives IFRS 9 project to recognise portfolio hedging
Banking book behavioural complexity could still stymie attempts to facilitate macro hedging
Margin model keeps testing the limits of industry co-operation
Simm supporters say it is a work in progress, but more participants may slow that progress
Stretched margins: growing pains for Simm
The standard initial margin model could become more strained as its use expands in 2017
Credit Suisse and StanChart cut Asia derivatives staff
Both banks have cut derivatives headcount by a dozen
Giancarlo: March VM deadline is ‘massive challenge’
CFTC commissioner calls on regulators to address buy-side concerns if needed
Elasticity theory of structuring
Andrei Soklakov presents a product design theory that incorporates Bayesian information processing and risk aversion
Asia energy dealer of the year: BP
BP restructures long-dated hedge for commercial player
Industry friction on initial margin model backtesting
NFA said to have set 10-day standard; other regulators applying different approach
Industry faces crunch time on Simm enhancements
If the required new risk factors are not added on time, firms may face a more punitive look-up grid
Dealers split over competing repack standardisation efforts
Rival initiatives aim to standardise documentation for repackaged bond investors
A map of collateral uses and flows
This paper provides insights into the increased demand for collateral, the reduced capacity for banks to act as collateral intermediaries and examples of risks and vulnerabilities in collateral flows.
Gap risk KVA and repo pricing
Wujiang Lou introduces a reserve capital approach to the hedging error in the BSM model
Non-cleared margin transfer rules vex asset managers
Market split on whether MTA applies at the client or account level
An imperfect solution: Derivatives create new challenges for buy side
Sponsored survey analysis: Calypso Technology
Plastics hedging rising amid US chemical industry boom
Several obstacles limiting potential growth, say plastics market participants