Numerix and JPMorgan Unveil New Quantitative Research for Modeling Stochastic-Local Volatility
The Unspanned Stochastic-Local Volatility Model (USLV) Combines Benefits of Stochastic and Local Volatility Modeling for Derivatives Pricing…
Topics
CFTC Approves Final Regulations Governing Exemption from Required Clearing for Inter-Affiliate Swaps
The Commodity Futures Trading Commission (CFTC) today issued a final rule to exempt swaps between certain affiliated…
CFTC’s Division of Swap Dealer and Intermediary Oversight Issues Time-Limited No-Action Relief to Swap Dealers and Major Swap Participants Regarding Certain Recordkeeping Obligations
The Commodity Futures Trading Commission’s Division of Swap Dealer and Intermediary Oversight (DSIO) issued time-limited no-action relief…
New Approach for Measuring Counterparty Credit Risk Exposures Finalised by the Basel Committee
The Basel Committee has today published a final standard on the treatment of derivatives-related transactions in its…
CFTC’s Division of Swap Dealer and Intermediary Oversight Issues No-Action Relief for Certain Futures Commission Merchants Concerning Annual Reports of Chief Compliance Officers
The Commodity Futures Trading Commission’s (CFTC) Division of Swap Dealer and Intermediary Oversight (DSIO) issued a no-action…
ISDA Announces Annual Determinations Committees Outcome
The International Swaps and Derivatives Association, Inc. (ISDA) today announced the outcome of the annual process to…
IntercontinentalExchange to Establish ICE Trade Vault Europe as Trade Repository for European Swaps and Futures Data
New service offering will provide compliance reporting to address new trade data regulations IntercontinentalExchange (NYSE: ICE), a…
MBS Margining: Buy Side at Starting Line for TMPG Deadline
The deadline to comply with TMPG’s new margin requirements for MBS was fast approaching for the buy…
ICE and Gasunie Announce Launch of ICE Endex
– Launch of ICE Endex is a joint initiative between ICE and Gasunie, based on the spot…
Insight Investment Pioneers its own Client Clearing Agreement
CCP clearing will introduce a stack of contracts. Clients of clearing members must review and negotiate both…