Derivs - Interest Rate

The tight range on 30y sterling rates has strategists at Credit Suisse seeing value in buying 3m30y GBP straddles.

The Korea Exchange will divide membership of its over-the-counter derivatives clearinghouse into two categories, which will see foreign entities allowed to access the CCP indirectly as customers via Korea-based brokers.

The U.S. Commodity Futures Trading Commission’s one-month delay for registered swap execution facilities from any enforcement under the SEF rules with regard to market participants who trade on such SEFs isn’t long enough for the industry.

Alok Modi, director in long-end and STRIPS trading at Barclays in London, is joining Morgan Stanley as head of government bond and credit default swap trading for Europe.

To take advantage of low fx volatilities versus rates vols, Société Générale is pitching a cross-asset structure in buying straddles on the euro/U.S. dollar, while selling EUR swaption straddles.

Mark Mehtonen is a Portfolio Manager, Tactical Allocation/Ilmarinen Alpha, at Ilmarinen Mutual Pension Insurance Co. in Finland. He spoke to Managing Editor Rob McGlinchey prior to the beginning of the Chicago Board Options Exchange’s Risk Management Conference Europe, at the Penha Longa Resort in Sintra, Portugal.

Enhancing counterparty credit risk management practices is a key focus for banks. This is in response to changes in accounting rules and new prudential and market regulations, which have tightened substantially following the financial crisis.

Larry Tabb has carved a unique spot as an objective observer of the derivatives market over the last 10 years. His firm’s research is seen as having the pulse of buy- and sellsiders—he also has the ear of regulators as evinced by his role in the Commodity Futures Trading Commission effort to define high-frequency trading. In an extensive interview with DW, he forecasts a vastly different OTC landscape emerging over the next five-seven years. The regulatory changes will see less bespoke flow and deals concentrated in fewer hands. He also foresees teething issues as swap execution facilities get off the ground, for example through a dash to get as many products as possible made available to trade.

Interoperability of global clearing models is not only undesirable but could kill product innovation, said Phupinder Gill, ceo of CME Group, at the 34th Bürgenstock annual global derivatives markets conference in Geneva.

The capital cost of clearing for banks could lead end-users to create shadow-banking entities to clear trades, according to panelists.

Migrating clients onto newly-approved swap execution facilities could take months, despite the U.S. Commodity Futures Trading Commission Wednesday deadline for swaps trading to be moved onto the platforms.

Scott O'Malia, a commissioner at the Commodity Futures Trading Commission, wants an extension to the Oct. 2 deadline for trading on a swap execution facility, he told DW on the sidelines of the 34th Bürgenstock Global Derivatives Forum in Geneva today.