Over-the-counter (OTC) derivatives
Mifid transparency has failed so far, say traders
Poor quality, inaccessible data and a lack of instruments covered undermine use case
Brexit: banks take the ‘no’ out of novations
Swaps clauses stop end-users blocking counterparty switch, making it easier to move trades to EU affiliates
Month of higher vol spurs equity derivatives trading
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
JSCC to aid yen Libor transition with new OIS swaps
Market participants sceptical launch will boost liquidity enough to help move off yen Libor
Swaps users face tense wait for Euribor all-clear
Euro swaps market would have a year to replace rate if it fails to comply with EU benchmark rules
Market players struggle to access Mifid trade-report data
Approved publication arrangements break the spirit of new transparency rules, says lawmaker
BoE to authorise EU CCPs ‘at 00:01’ on Brexit day
Central bank hopes plan to preserve access for EU CCPs will be reciprocated
Old dispersion product signals new vol regime
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
Central counterparties and systemic stability
The paper is the text of a keynote address by Marc Bayle de Jessé presented at the conference.
Swaps data: the monopoly effect in clearing
There are only a handful of products where clearing volumes are evenly split between rivals
Volatility trap: how gamma roused a market monster
Rates market is exposed to some of the same factors that caused equity volatility to explode in February
Pensions shackle UK to RPI linkers, say traders
Carney’s call to end use of flawed inflation index faces obstacles
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Market mayhem hurts relative-value vol trades
Losses estimated at close to $500 million as US index volatility spikes
Central counterparty resolution: an unresolved problem
This paper describes the current policy for recovery and resolution of CCPs and assesses the tool kit for resolution of them.
LCH, CME or OTC? Forex traders weigh their options
Bilateral trading costs bite but dealers lukewarm on both firms’ plans for forex options clearing
Isda’s O’Malia: back-office costs are ‘killing’ swap dealers
Banks set to begin testing Isda’s common domain model for trade lifecycle processes
MUFG launches CDS franchise in US with bet on volatility
Clearing helps Japanese bank branch out into US single names
Isin service increases annual fees by 73%
Anna DSB warns venues against gaming the fee model
Forwards users unclear on status of EU’s margin regime
National regulators have not all taken public stance on pending postponement
Confusion plagues start of Mifid swaps reporting
Firms reach inconsistent conclusions on scope of transparency requirements
Mifid costs data leaves swaps users in the dark
Dealer charges can’t be compared, critics complain; banks already bracing for review
Industry expects fresh guidance on Mifid swaps transparency
Firms might need time to change their systems if Esma alters May 2017 guidance significantly