Forwards
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…
Looking forward to backward‑looking rates
Interbank offered rates are critical in the world of contracts and derivatives, acting as reference rates in millions of financial contracts and with a total market exposure in the hundreds of trillions of dollars. Bloomberg explores why offering…
Asia awaits term SOFR solution for local benchmarks
Singapore, Thailand and the Philippines look at ways to replace Libor in benchmark calculations
Drax, Brevan and the rise of the agency broker
JB Drax has become a key broker for at least 15 buy-side firms, including Brevan Howard. But what is driving the success of the secretive agency broker and its peers?
Libor replacement: a modelling framework for in-arrears term rates
Andrei Lyashenko and Fabio Mercurio expand rates modelling to the post-Libor world
Dealers consider ditching FRAs prior to Libor’s death
Forward rate agreements won’t work with backward-looking rates; banks explore single period swaps instead
Dealers slam ‘nonsensical’ treatment of forex derivatives
Proposal on US swap dealer threshold rekindles debate on definition of NDFs and window forwards
EU shelves limits on structural FX hedge exemptions
Basel rethink on FRTB capital ratio hedging prompts fresh questions over EU implementation
VM rules sound death knell for forex swaps in Europe
Market participants claim instrument was a “mythical creature” that never really existed
China FX forward rules set to boost renminbi options market
PBoC extends reserve requirements on onshore forwards to foreign banks
RMB fall forces Chinese corporates to rethink hedges
Exporters dump forwards; others hedge for the first time
Quant ideas: Building a better LNG forward curve
An overview of effective methods for constructing long-term LNG forward price curves
LNG market participants shun Japanese forwards
Contract hit by lack of interest and fears over pricing methodology
Ethics and moral standards are as crucial to finance as ever
Carney’s words echo work of Émile Zola on the value of social capital
Japan: Initial margins on OTC clearing of forex swaps not desirable
Japan questions the current framework for clearing foreign exchange derivatives
Volcker rule could hurt liquidity in FX spot market, participants warn
Foreign exchange swaps and forwards should be exempted from the Dodd-Frank ban on prop trading, or else liquidity in the spot market could suffer, industry participants say
FX Week China: CNH/CNY forward divergence threat has stabilised
A reversal of the spread between offshore deliverable forwards and onshore NDFs that caused pain for speculators last year is unlikely to recur, say economists
US Treasury will exempt forex swaps and forwards from Dodd-Frank
Afme's global forex division welcomes the decision, announced on April 29, and calls on European rule-makers to follow suit
CFTC regulators favour extending Dodd-Frank comment period
CFTC cost and timing concerns continue; FTRs and commodity forwards exempted from swaps definition
Proof of exposure required before Indian companies can trade derivatives
New regulations will require Indian companies to prove they have an exposure that needs to be hedged
Major players show support for California carbon trading
First California Carbon Allowance forward underlines US interest in trading, contract standards to evolve as activity increases
Knock-on FX
Many banks are now including a credit charge in swap and forward transactions, while increased volatility has upped the cost of options. At the same time, the financial crisis has sparked a suspicion of complex products. How are corporate hedgers and…