Commodity markets
Cutting edge: Valuation of spread commodity structures
In this paper, Dan Mahoney and Krzysztof Wolyniec show that in co-integrated (mean-reverting) futures markets, active dynamic hedging is required to realise the quadratic variation of the underlying spread process. Using static hedges/portfolios yields…
Energy and Commodities OTC Clearing and Execution under Dodd-Frank Regulation roundtable
Challenges continuously arise regarding energy and commodities OTC clearing, and changes in regulations. This roundtable offers the knowledge, experience and opinions of our elite speakers on some of the key issues the industry currently faces including:
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Turning points: Joseph Pokalsky
Pauline McCallion speaks to energy trading veteran Joseph Pokalsky about the early days of Enron, picking up the pieces in the energy sector after its collapse and new challenges facing the energy sector today
Mifid II update: potential position limits and narrowed exemptions likely for commodity traders
Last month’s updates to the Markets in Financial Instruments Directive (Mifid II) and the Markets in Financial Instruments Regulation (Mifir), the regulations implementing Mifid II, could have a significant impact on energy trading companies, say experts
Non-bank commodity traders should adopt Fed letter commitments, says BP executive
BP's Alan Haywood says non-banks need to consider Fed letter commitments for the good of the industry
Speculation not a major cause of commodity market volatility: FOA
Futures and Options Association report refutes negative impact of speculators on commodities markets
Forging an iron ore derivatives market in Asia
Last year’s shift in the way iron ore price is negotiated – which pushed the industry into more market-based contracts – has helped drive iron ore swaps volumes. The greater liquidity means swaps are increasingly legitimised as a hedging tool but end…
Mexico driving put skew in Brent, say brokers
The put skew in Brent crude oil is close to its yearly high. This is being driven by the hedging programme of Mexico, as well as more general risk aversion on macroeconomic worries, according to brokers
JP Morgan wins the Asia Risk commodity derivatives rankings 2011
The past year has proved challenging for many commodity derivatives houses in Asia as energy prices remained largely range-bound. But dealers profited from metals and agriculture business in 2010, with JP Morgan emerging as the client favourite across…
Small Asian companies exposed to commodity derivatives margin calls
Commodity consumers are under pressure from rising prices and market volatility, leading some to question the affordability of margin-based hedging programmes. Cash-rich participants appear able to absorb these expenses with little discomfort but smaller…
Q&A: Tony Hall at Duet Commodities Fund
After turning one of the highest proprietary trading profits in the history of Credit Suisse Commodities in 2009, Tony Hall launched hedge fund Duet Commodities Fund last year. He will be delivering the keynote talk at Energy Risk’s Commodities and…
Valuing non-standard load profile products
Load profile products in the European OTC power markets are attracting increasing attention. However, valuations for these non-standard products can be difficult, as Cregor Janssen and Jan Lueddeke discuss
SMX chief resigns, will stay on advisory board
Thomas McMahon, chief executive of the Singapore Mercantile Exchange (SMX) resigned over the weekend
CFTC regulators favour extending Dodd-Frank comment period
CFTC cost and timing concerns continue; FTRs and commodity forwards exempted from swaps definition
Widespread unease over planned position limits rules
Reservations remain among firms involved in commodity trading about a new position limits regime that could be implemented under the Dodd-Frank Wall Street Reform Act, while support continues from anti-speculation campaigners
Time runs out for position limits comments
CFTC’s latest position limits plan attracts thousands of comments; opinion deeply divided; new commissioner to affect final vote
Derivatives exchange volumes leap 26%
Derivatives exchanges report a spike in trade volume on the back of growth in Asia-Pacific and Latin America, and strength in the commodities sector.
Experts discuss need for commodity speculation
Squeezing out speculative capital will affect commodity market liquidity, regulator must engage with market to prevent unintended consequences
CME slams potentially stricter position limit rules
CME Group chief executive slams proposed position limit regulations as “unnecessary”
Volatility spike boosts oil options trading volume to all-time high
The sharp increase in oil price volatility resulting from political upheaval in Libya and across the Middle East has helped push the volume of oil options traded to a new all-time high
BarCap advises carbon market to use UK registries
Barclays Capital advises clients to stick to the UK in light of recent EUA thefts across European registries
EU to examine commodity derivatives/physical market link
Following sustained calls from EU members to curb commodity derivative markets, the EU will research the link between derivative and physical markets
Dealers bet on onshore commodities units in China
Western dealers have set up onshore units in China as part of an effort to regain hedging business with Chinese corporates following large losses from derivatives contracts during 2008. How are these efforts working out? Kathy Wang reports