Options
Capitalab completes first compression run with SGX
Compression efficiency in SGX Nikkei 225 options could be as high as 50%, Capitalab says
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
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Short-term bets push interest rate option volumes higher
Open interest in short-dated contracts surges 23% from December to March
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
Born again: Citi’s forex prime brokerage
After a $180 million gut-punch, the apex brokerage is now evangelising to amused rivals about the perils of mispricing
Making technology count in a C/ETRM world
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
Three firms plan to start issuing Hong Kong warrants
Morgan Stanley, Citi and Guotai aim to grab a share of fast-growing market
Remembering the range accrual bloodbath
Flatter US yield curve spurs demand for a product with a painful history
Risky notes replace easy money for exotics desks
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Regulatory compliance – The new business enabler
Leila Szwarc, global head of compliance and strategic regulatory services at TMF Group, explains how Asia-Pacific organisations can cultivate a more robust approach to compliance amid data privacy concerns and the changing local and international…
Capital requirements for options are ‘crazy’ – DRW
Wilson says current rules penalise options, but SA-CCR does not go far enough to fix the problem
Active ETFs – The next step in Asia’s ETF innovation
The exchange-traded fund space has long been dominated by passively managed funds, but active ETFs are gaining popularity among investors and issuers. Although active ETFs are not yet a mainstream investment instrument, their growing investor interest is…
Calling out autocallable pricing
Quants show popular autocallable pricing technique has a flaw that has been ignored until now
Eurostoxx dislocations signal autocall hedging pain
Swings in dividends and volatility reveal year-end stress as European index slump tests “peak vega”
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
Ice Clear Europe posts $1.2bn margin breach in Q3
In total, 55 margin breaches reported at end-September 2018
Interest rate ETD volumes tick up in Q3
Longer-dated contracts push total open interest higher
FX traders dump short-dated options on Brexit mire
Attention turns to long-dated positions after failed no-confidence vote