Futures
SOFR futures volumes surge as overnight repo rates spike
Daily trading volume of one-month contracts climbs 156% between September 16-17
Derivatives exchange of the year: SGX
Asia Risk Awards 2019
Span 2: a fine balance
Switching margin model means walking a tightrope of competing interests amid regulatory scrutiny
Euribor futures spread spike strangles prop traders
Safe-haven butterfly trades savaged by shock divergence in mid-term contracts
Australia a prime candidate for a term RFR – IHS Markit exec
With its liquid futures and OIS markets, the country could be a term rate leader
CurveGlobal and the curious case of the lost open interest
One-third short sterling plunge in open interest on CurveGlobal may signal more capital-sensitive times
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
Swaps counterparties spooked by Emir position pairing
Stumble on voluntary position reporting could undermine push to reform ETD regime
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?
At Ice Clear US, largest margin breach on record
The clearing house last reported a margin shortfall in Q2 2017
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
JP Morgan warming to derivatives-based term RFR rates
Risk Live: Unlike Libor, the market has a say in them. (Though they may not be real term rates, executive muses)
Lingering Euribor may hit €STR futures prospects
Bourses question viability of euro RFR contracts as Euribor reform efforts remove transition incentives
Risk premia strategies – Lessons learned for the future
After a difficult 2018, investors are increasingly wary of risk premia, concerned that factors leading to underperformance might be a recurring problem. Imene Moussa, executive director at UBS, clarifies this issue
Libor replacement: a modelling framework for in-arrears term rates
Andrei Lyashenko and Fabio Mercurio expand rates modelling to the post-Libor world
Exchange leaders see a greening future in derivatives
On ESG, Europe leads the US, new products are sprouting and sourcing of metals is being examined
FCA: Sonia derivatives liquid enough to create term rates
Andrew Bailey says a forward-looking rate can work, but its use should be limited
Short-term bets push interest rate option volumes higher
Open interest in short-dated contracts surges 23% from December to March
Alternative Liquidity Measures
Is book depth a sufficiently representative measure of market liquidity? A look at trade matching performance under different market volatility environments
