Options
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
At CME, required IM up 18% in Q3
Surge follows busy August and September for the swaps clearing business
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
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
Volatility becalmed, trade in forex options plummets
With central banks in tandem on policy, market churn has lessened considerably, and trading as well
Germany scrambles to shut the door on Mifid open access
Finance ministry will face fine timing to reverse clearing rule during its EU presidency
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck
Rate options and futures volumes plummet $10trn in Q3
Open interest in short-term options collapses 10% quarter on quarter
The Fundamentals of market risk rules
With the 2022 Fundamental Review of the Trading Book (FRTB) deadline looming, banks are fast coming to grips with the amount of work still to be done to achieve a successful implementation
Over five years, swaps plummet, options climb at US banks
Swap notionals down $45 trillion since Q2 2014
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
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
Seamless integration – Drivers of and barriers to cloud adoption
Siarhei Niaborski, executive vice-president of risk at CompatibL, discusses the rate of cloud adoption in the capital markets industry and its possible drivers and barriers, how firms can derive maximum value from cloud usage and the criteria on which…
Sterling option volatility spikes on Brexit deal news
Trading reaches crescendo on Friday; insiders warn of further volatility
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
Short-term interest rate ETD notionals leap $14trn in Q2
Open interest in exchange-traded options with maturities of a year or less rise 19%
What gold's rise means for rates, equities
It has been several years since we have seen volatility in gold. An increase in gold volatility can typically be associated with a change in sentiment and investor behavior. The precious metal has surged this year on increased demand for safe haven…
Neuberger sidesteps option gap risk using AI and credit card data
Random-forest algorithm run on retail transaction data forewarns of earning shocks
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end
Deep hedging and the end of the Black-Scholes era
Quants are embracing the idea of ‘model free’ pricing and hedging
Connectivity – Standards set to enhance collateral management
Regulatory changes in the over-the-counter derivatives space have seen firms scrambling to find solutions that will ensure they are prepared to manage the transition. As ever-larger transaction volumes place higher demands on firms’ transaction…
At Ice Clear US, largest margin breach on record
The clearing house last reported a margin shortfall in Q2 2017