Derivatives

AUD Swap Market

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Having blogged for a good few months now, it becomes second nature to look for different lines of analysis within the major markets that we haven’t yet covered. As a result, we find new ways of developing the existing products and adding

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Price Making in Swaps and Sharpening your Axe

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Market making in Swaps is a business in the midst of significant change. Regulatory drivers are increasing cost and complexity and while central clearing has helped, it has not yet simplified the business to one which is automated, high-volume and low

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Picking a Futures Commission Merchant: Four Steps

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It’s the phone call no operations manager wants to get. The trading desk just tried to execute a swap contract, and discovered that the newly hired futures commission merchant (FCM) doesn’t handle transactions in that currency. Or doesn’t accept that kind of collateral. Or isn’t a member of the necessary clearinghouse. Who’s to blame? Good question, […]

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Will Commodity Traders Replace Banks as Swap Dealers? I Think Not

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As many (but not all) banks reduce their paper and physical commodity market activities, it is often suggested that commodity trading firms like Glencore, Vitol, Trafigura and Mercuria will step into the breach, and become swap dealers offering customized risk management structures to clients (and loans to customers to boot). Mercuria CEO Marco Dunand says his company is exploring that:

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Butterflies and Spreads SEF Market Share

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History in the making….. October 2014 was another record month for volumes traded on-SEF. Following on from Amir’s blog, we can see that October on-SEF USD IRS volumes hit a record, breaking $1.5trn for the first time: DV01! Using a

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FIA EXPO 2014: Mandatory Clearing Driving Transformation

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In an ever-evolving capital markets landscape, derivatives market participants are faced with a host of new regulatory mandates.  One of the more significant mandates is Title VII of the Dodd-Frank Act, which requires that derivative transactions be subject to central clearing requirements. And while many agree that this and other mandates have and will increase the cost of doing business, the impact will likely have a broader reach throughout the organization.

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NDFs and Clearing

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So that our readers don’t have to go through the pain, I’ve read the most recent ESMA Regulatory Technical Standards (RTS) on NDF markets. In summary, ESMA would like the market’s view on mandatory clearing for NDFs vs USD in

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Someone Didn’t Get the Memo, and I Wouldn’t Want to be That Guy*

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Due to the five year gap in 30 year bond issuance, in mid-September the CME revised the deliverable basket for the June 2015 T-bond contract. It deleted the 6.25 of May, 2015 because its delivery value would have been so far below the values of the other bonds in the deliverable set. This would have made the contract more susceptible to a squeeze because only that bond would effectively be available for delivery due to the way the contract works.

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Lost Lobos

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Bill: This article is from Nick Dunbar, a writer on the capital markets and is imported from his RSS Feed. You can see more of Nick's stories by visiting his Profile, look in the Imported Articles tab, and click Follow to add these to your personal home page.

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