Futures
All change as investors favour ETFs over futures
The use of futures to gain long equity index exposure is no longer the efficient play it once was, thanks to stubbornly high roll costs and the flight of arbitrageurs from the market. ETFs are being touted as a cheaper alternative, but is there more to…
CME has “no plans” to corner invoice spread market
Dealers still worried exchange has motive and means to create monopoly
Massad: CFTC will not challenge CME invoice spread rule
CFTC chairman says there are no plans to revisit changes to CME rule 538 on package trades
Variation margin calls drove China copper smelter insolvent
Ill-considered futures trade claims first victim of tighter post-Qingdao financing climate
Quant ideas: Building a better LNG forward curve
A robust suite of liquefied natural gas (LNG) forward curves is an important prerequisite for the proper valuation and risk measurement of LNG portfolios. This article provides an overview of effective methods for constructing long-term LNG forward price…
RBI says India corporates need to increase forex hedging
Potential US rate rise puts rupee depreciation back on the table
Wells Fargo: clear ambition
Wells Fargo cleared its first swaps for a client in 2012, with its futures debut following a year later – it now has a total of $4 billion in client margin, and clearing head George Simonetti is targeting further growth
CME fears futures clearing retreat
At least three firms have already abandoned their swaps clearing plans, and CME worries the leverage ratio could see futures clearers avoiding certain contracts, reducing client numbers or exiting the business altogether
Cutting edge: Kriging smooth energy futures curves
This paper applies the method of kriging from geostatistics to extract smooth curves from energy futures prices. How the method can interpolate market prices is demonstrated, both for contracts with fixed delivery times and for delivery over a period,…
Primes re-pricing and exiting their tails
Prime brokers must decide on day one if start-up hedge funds are likely to reach the magic $300 million level
Goldman client margin soared $4.5bn during wild October
CFTC data shows a huge jump in required client collateral at Goldman Sachs. Theories for the increase include an influx of big clients, margin hikes at CME and market volatility
Dalian courts foreign investors for iron ore contract
DCE exploring two schemes to allow foreign firms to access its market – following recent moves to enable global firms to trade a Shanghai crude oil contract
CFFEX allows non-cash collateral for China treasury futures
Move seen as first step to bring banks and insurers, which are the main holders of these securities, on to the market
DTCC and Regis-TR blamed for low futures matching rates
DTCC and Regis-TR will try to match more of their listed derivatives reports with those at other repositories after regulator intervened
Former CME Group energy head Morsches to leave
Gary Morsches, the New York-based former head of energy at CME Group, is to leave in early 2015, following the appointment of Martin Fraenkel as global head of energy
Shanghai RMB crude contract faces margin and legal hurdles
First RMB oil contract set to go live in months but international players have concerns
CME plans to corner invoice spread trading, dealers claim
Dealers claim “high farce” after CME rule change prevents packages being traded at other venues
Esma derivatives definition hits CME futures volumes
CME Group says energy futures volumes have dropped since it was confirmed that contracts executed on US exchanges could tip firms over the European clearing and trade valuation threshold
Two centuries of trend following
Volume 3, Issue 3 (2014)
Buy-side swaps use set to decline, survey suggests
Fund managers expect swap trading volumes to decline, according to research from Celent that will be published later this month
GF Futures set to expand beyond London by joining CME
GF Futures has become the first Chinese broker to become a fully fledged member of the London Metal Exchange – and now it’s turning its attention to the US market
First stage of Eurex-Taifex cross-listing project to go live in May
Just months after Eurex took a stake in the Taiwan Futures Exchange the two firms are about to launch their first cross-listed products – with more debuts on the horizon
CME said to have shelved inflation futures plan
Dealer resource constraints and an apparent lack of demand from the buy side have derailed CME Group's efforts to launch two new US inflation futures contracts, according to market participants
Zambia sees first currency futures contract
Dollar/kwacha futures contract at Zambia's Bond & Derivatives Exchange in response to central bank ban on pricing goods and services in foreign currency