Derivatives

Futures Industry Association’s head of Europe steps down

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The head

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MiFID II SI regime for derivatives delayed for a second time until 2020

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The systematic inte

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Citi and Eaton Vance clear first FX cash-settled forwards with CME Group

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CME Group has cleared its first foreign exchange (FX) cash-settled forwards with Citigroup and Eaton Vance Management.

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Exchange-traded derivatives hit record in 2018

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Derivat

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JPY Swaps – A Market Overview

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JSCC has enjoyed a 63% market share in vanilla JPY IRS versus LCH over the past year. The market shares vary by tenor and month-by-month. JPY OIS trading is a very small market. LCH is the leading CCP in this market with a 67% market share. JPY single currency basis trading remains a large market […]

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HKEX chooses Traiana for central clearing connectivity of FX deliverables

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Preparation already underway for next rounds of initial margin rules

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The level and exte

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CME’s TriOptima launches initial margin calculation tool

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Former derivatives head at Credit Suisse to lead sales at OpenGamma

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Mechanics and Definitions of Carry in Swap Markets

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We take a look at the cost of carry in Interest Rate Swap trading. We analyse both 2y vs 10y curve trades and a simple spot starting 10y trade. We also take a brief look at exchange traded derivatives to estimate the carry on short-term interest rate futures. Positive carry trades can provide a strong […]

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