Futures
Spotlight on auction in €114m Nasdaq clearing blow-up
Four-member auction may have turned 27% margin breach into huge default fund loss
JP exec calls for derivatives margin changes
Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Pensions and insurers give new impetus to Asia’s ETFs
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
On the spatial hedging effectiveness of German wind power futures for wind power generators
In this paper, the authors consider wind power utilization in thirty-one different locations in Germany.
Asian LNG derivatives trade surges on increased hedging
Expectations grow that a long-awaited Asian gas derivatives market is emerging
Ice Clear Europe had a top margin breach of $91 million in Q1
A total nine breaches are reported, averaging $14 million
The Iberian electricity market: analysis of the risk premium in an illiquid market
This paper analyzes the risk premium in the base-load monthly futures contracts traded on the Iberian electricity market (MIBEL) between July 1, 2006 and March 31, 2017.
An analysis of intraday market response to crude oil inventory shocks
This paper investigates the intraday market activity of West Texas Intermediate (WTI) crude oil futures around the release of the US Energy Intelligence Agency (EIA) report, looking at how prices respond to inventory shocks.
Bitcoin futures growth could prompt bank ratings downgrades
Fitch, S&P, Moody’s contemplate impact of bitcoin futures on credit ratings
Regulator calls for term Sonia as transition talk ramps up
Schooling Latter throws scepticism on Libor reform efforts
Asia moves: Citi expands Treadwell’s role, Credit Suisse makes Australian appointments, and more
Latest job changes across the industry
End-users fear loss of Mifir’s open-access promise
Exchange groups have 30-month exemption from access rules; listed derivatives users concerned it will become permanent
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
XIV hedging rule helped protect Credit Suisse
Swiss bank guarded against ETN’s collapse by requiring counterparties to provide hedges in exchange for new units
Quintenz: futures will allow regulated bitcoin exposure
New products allow investors to access digital currency in a monitored marketplace, says CFTC commissioner
Oil & products house of the year, Asia: BOCI
Energy Risk Asia Awards, 2017: Established client base and strong product offering give Chinese bank edge in domestic oil markets
Quants stymied by lack of alternative risk premia flows data
Data shortage is hampering efforts to model futures market liquidity
Dealers blame US futures IM dip on low vol
CFTC data shows required initial margin down 15% since start of 2017
Final US position limits rule will take ‘at least a year’
CFTC expected to draft a narrow list of contracts in scope
Vega volumes triple on Vix spike
Rebalancing of Vix ETPs spurred record trading in Vix futures on August 10