Articles by Mark Pengelly
Stressed VAR will hit FX options, dealers warn
Certain forex options and exotics penalised by Basel 2.5, including emerging market currencies and double no-touches
Investors seek alternative forex hedges for euro crisis
Australian dollar, renminbi and CE3 currencies touted as alternative macro hedges for European debt woes
Canada clearing paper will not address CCP location question
A consultation on OTC clearing is expected in the coming months, but a key question will not be answered
OTC derivatives reform will lead to algo boom, banks predict
Dodd-Frank and Sefs set to encourage growth in algorithmic execution of OTC derivatives, say dealers
RBS launches gamma hedging algo for forex clients
New algorithm is designed to automatically hedge gamma sensitivity of foreign exchange options
Buy side urged to avoid stampede to CCPs
Panel participants encourage buy-side firms to engage with CCPs early to avoid a last-minute rush
LCH.Clearnet 'shocked' at Dodd-Frank capital requirement
CCP's chief executive speaks out against CFTC ruling at New York conference.
Basel Committee tweaks counterparty risk rules
Basel Committee changes CVA methodology and releases consultation paper on CCP default fund charges
Buy-side targets capital efficiency, says UBS
Findings of UBS analysts stoke fears of race to the bottom among over-the-counter derivatives clearing firms
The impact of regulation on the global OTC market
Three web seminars – in Hong Kong, London and New York – exploring key changes in international OTC derivatives regulation from a regional perspective
Isda members to qualify as swap dealers, says Gensler
All 209 primary members of the International Swaps and Derivatives Association could fall under the definition of swap dealer if they intend to do business in the US, according to Gary Gensler, chairman of the US Commodity Futures Trading Commission …
Liquidity critical to OTC clearing, argue dealers
Regulators should consider liquidity when deciding which over-the-counter derivatives should be cleared, say market participants
Questions raised about CCP collateral
Bank collateral managers raise concern about wrong-way risk in clearing house collateral
Isda moves to improve consistency of documentation
Search for consistency in documentation
Banks pull out of PRDC market
Dealers exit as hedging costs surge
Adapt or fail
Since October last year, extreme movements in South Africa's foreign exchange rate have caused offshore hedge funds to exit the market, while dealers have been reluctant to take on risk. Those that remain active have had to adapt their behaviour. By Mark…