Futures
EU firms face margin threat as Brexit tips futures into OTC regime
Mid-2021 clearing, margin thresholds loom as LME, Ice futures lose exchange-traded status in EU
Regulator says Covid has accelerated China’s reform agenda
CSRC vice-chair wants US firms to help develop onshore futures for risk management
Term Sonia rivals don the same clothes
IBA mimics Refinitiv by adding Tradeweb quote data; Refinitiv denies IBA has ‘synthetic Libor’ edge
Jerome Kemp on the skewed economics of clearing
Only Fed intervention prevented “a really big market disaster” during Covid, says derivatives veteran
Regulators should set ‘guidelines’ for CCP margins – Kemp
Citi’s former clearing head says CCPs are still competing on margin
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Citi promotes Perkins and Wilson to top clearing post
US bank creates clearing co-head role in wake of Kemp’s retirement
Op risk data: record $920m fine for JP metals ploy
Also: counting the cost of Covid cons; Citi audio dynamite. Data by ORX News
Cliff effect might demand risk calculation agility until Libor cessation
Didier Loiseau, global head of rates, bonds and credit at Murex, examines the problems that originate from the spread calculation technicality stipulated by the new International Swaps and Derivatives Association Ibor fallback supplement, which…
Rates and FX exchange-traded derivatives markets cooled in Q2
Interest rate options and futures turnover halved over three months to end-June
UK banks’ rate swaps books continued to grow in Q2
Interest rate swap exposures hit £4.42 trillion
For a post-Covid world, quant fund revives a contentious idea
Crisis puts out-of-vogue practice of “porting” alpha back in play
Race to cash in on term Sonia is filled with twists
Pending merger and FCA’s effort to create synthetic Libor rates could sway outcome
Swaps data: initial margin soars in Q1 2020
Model procyclicality drives wide variation in CCP IM hikes through Covid-19 volatility, writes Amir Khwaja of ClarusFT
OCC made $32bn initial margin call in Q1
Clearing house reported peak margin breach of $273 million
FCMs feared systemic incident during March back-office meltdown
Trade breaks following Covid-19 spike in futures volumes required massive clean-up job, says BofA exec
International announcements and West Texas Intermediate crude oil futures: a case study on the 2008 global financial crisis
The authors examine the impact of international monetary policy and professionals' announcements on West Texas Intermediate crude oil futures.
Lagging futures market holding back swaptions RFR transition
“Elephant in the room” is hindering non-linear growth and swap market liquidity, say rates traders
Margin scuffle at Eurex blurs lines between risk and returns
Disagreement over liquidity risk add-ons may owe more to self-interest than risk management
Ronin expanded rapidly before flaming out, accounts show
Chicago prop firm tapped $450m financing line with broker-dealer as assets grew to $34bn
WisdomTree shuts oil ETPs after Shell terminates swap deal
Counterparty departure forces closure of eight oil trackers with $580 million of assets
China commodities regulation: time to end the turf war
Mishmash of regulations still govern China’s financial industry