Derivatives - All Articles

  • ESMA rejects EC exemption for intragroup derivatives

    The European Securities and Markets Authority has raised concerns over the European Commission’s proposal for a three year exemption from clearing and collateral responsibilities for firms making intragroup interest rate derivatives transactions with third country entities, because such entities are not yet deemed to have regimes equivalent to the European Market Infrastructure Regulation.

    • 30 Jan 2015
  • TABB Forum: All eyes on MAC swaps

    Volumes in market adjusted coupon swap trading are increasing due to margin efficiencies, increased liquidity and the ease of trading, according to speakers at the TABB Forum Fixed Income 2015 conference in New York on Thursday.

    • 30 Jan 2015
  • Electronic trading move won’t eliminate volatility

    More swaps trading being pushed onto exchanges and other venues will not eliminate the presence of volatility in derivatives markets. However, the move to electronic trading has increased matched trades and efficient sourcing of capital.

    • 30 Jan 2015
  • Growing asset managers need to reduce their delta

    As buyside firms transact in ever larger volumes, asset managers need to reduce the delta risk, known as DV01, the change in the value of their trades caused by a basis point change in rates. However, this is very difficult as capital requirements for investment banks mean that a dealer’s ability to warehouse risk for its buyside clients is diminished.

    • 30 Jan 2015
  • Q&A: Lucio Biase, CEO and Hilary Park, chief strategy officer at LMRKTS

    Tools that enable firms to reduce the number of line items in a portfolio, while keeping the same risk profile, are changing the way market participants trade derivatives. These tools are becoming the new market norm as users look to optimise their balance sheets as increased regulation envelops the derivatives market. Gabriel Suprise was granted an exclusive interview with Lucio Biase, CEO, and Hilary Park, chief strategy officer at LMRKTS, a new firm that offers a novel type of tool in order to minimise counterparty risk. Topics of discussion included what LMRKTS is, how it works and why it is different from other compression offerings in the derivatives marketplace.

    • 29 Jan 2015
  • Funds eye outperformance of SenFin vs. Main

    Hedge funds are eyeing the spread differential between iTraxx Senior Financials and iTraxx Main, which has gone from 1bp in December to wides of almost 10bp this week, following the election of the left-wing Syriza party in Greece. The interest comes on the back of an expectation that the SenFin index will outperform in the longer term.

    • 29 Jan 2015
  • UBS sees gains with new VIX-related ETN

    UBS this week trumpeted the recent launch of an exchange traded note that provides investors with hedged exposure to the Chicago Board Options Exchange Market Volatility Index (VIX).

    • 29 Jan 2015
  • Syriza sends volatility rippling through EU CDS

    The result of the Greek elections on Sunday was clear — an emphatic victory for the anti-austerity Syriza party. The Greek public have signalled that they want to move in a different direction from that of austerity, which they blame for causing high levels of economic pain.

    • 29 Jan 2015
  • Time for discretion

    The financial crisis caused a surge in demand for systematic strategies, but the market environment now may be easier to navigate with qualitative, human intelligence.

    • 29 Jan 2015
  • Compression behind drop in IRD notional, ISDA says

    Compression is behind a 3.6% drop in gross notional outstanding of interest rate derivatives between December 2013 and June 2014, according to the International Swaps and Derivatives Association, who said that the growth in services available at central counterparties and other portfolio compression providers combined with regulatory pressure is driving the trend.

    • 29 Jan 2015