Futures
Asia CCPs forced to hike margins rapidly during equities rout
Margins for Nikkei 225 futures more than doubled at JSCC in a matter of days
Eurostoxx dividend futures see trading frenzy
December 20 contracts drop 39% in March
Hedge funds cut short US Treasury futures exposure – CFTC data
Short open interest held by leveraged participants down 23% from 12-month peak
India exchange to debut rupee derivatives settled in US dollar
Launch of onshore futures and options unlikely to dent offshore volumes, though
Sonia swaps surge not mirrored by futures
Popularity of short sterling futures takes shine off Sonia’s RFR succession
FCMs clamour for formal rule on separate account margin
Costly compliance effort will be to no avail if CFTC relief expires in June 2021
Caveat pre-emptor: Man ESG chief talks snubbed markets
Robert Furdak is sparking discussions about responsible trend following in unsustainable stocks
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
Fast-track SOFR term rate, says JP Morgan’s Pluta
Traders divided on whether liquidity in SOFR futures is sufficient to support a forward rate
BNP buys Deutsche’s delta one assets in latest CRU auction
French dealer lodges winning bid after missing out on flow equity portfolios last year
How Onyx came from nowhere to conquer oil swaps
In just four years, market-maker has become the largest provider of liquidity in energy derivatives
Swaps data: have SOFR and Sonia swaps and futures lived up to expectations?
Progress on volumes of SOFR and Sonia swaps and futures
At CME, required IM up 18% in Q3
Surge follows busy August and September for the swaps clearing business
Smarter trading in a fragmented world
FX Week recently hosted a webinar in partnership with Refinitiv to ask foreign exchange industry leaders to discuss geopolitical challenges, market changes and developments, and evolving technologies, and how they have shaped forex markets in Asia
Leaked email reveals new assault on CCP open access rules
Largest group in European Parliament wants to shoehorn delay into crowdfunding legislation
Will uncleared margin rules change the FX landscape?
As the next phases of uncleared margin rules come into force, there will be an economic driver for more clearing of FX. By Phil Hermon, Executive Director of FX Products at CME Group
Germany scrambles to shut the door on Mifid open access
Finance ministry will face fine timing to reverse clearing rule during its EU presidency
How pre-trade IM calculation can optimise and reduce collateral drag
With firms under pressure to make their systems compliant with uncleared margin rules (UMR), the increase in margin requirements has put further strain on the availability of high-quality liquid assets. Mohit Gupta, senior product specialist at Cassini…
Rate options and futures volumes plummet $10trn in Q3
Open interest in short-term options collapses 10% quarter on quarter
Value-at-risk in the European energy market: a comparison of parametric, historical simulation and quantile regression value-at-risk
This paper examines a set of value-at-risk (VaR) models and their ability to appropriately describe and capture price-change risk in the European energy market.
Brent crude oil spot and futures prices: structural break insights
This study focuses on the analysis of long-run and short-run relationships between Brent crude oil spot and futures prices during the first Gulf War (1990–91) and the global financial crisis.
Over five years, swaps plummet, options climb at US banks
Swap notionals down $45 trillion since Q2 2014
Exchange innovation of the year: CME Group
Risk Awards 2020: New equity index contracts most successful launch in exchange’s history
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates