Interest rate markets
Nordic clearing members eliminate Skr288 billion IRS notional
Nasdaq Clearing’s first compression run to be continued twice a year
Indian rate options underlyings insufficient, say traders
Lack of long-term reference points could hold back proposed market
Dealer algos strike back in swaps market showdown
Auto-quoting starting to take root as incumbents try to keep pace with Citadel
Hungary central bank action ‘distorting’ swaps curve
Flooding market with cheap swaps knocks 14% off bid rate
Japan’s Quick takes on MarkitWire with domestic affirmation service
Japanese language service targets domestic regional banks
What credit auction friction says about the OTC market
Benefits of risk bifurcation threatened by collateral conflicts
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Corporates warn of legal risk in Euribor transition
Proposed new methodology behind benchmark constitutes a "fundamental" change, ACT argues
Slow start to US dollar rates clearing in Japan
Dealers cite limited demand to clear foreign currency interest rate swaps at JSCC
Eonia ‘almost meaningless’, says Eurex
Thin volumes in unsecured lending market should be a cause for concern, bourse operator argues
JSE swap futures off to a slow start
Dealers struggling with CVA pricing and internal approvals
LDI funds cool on zero-coupon swaps as price jumps
Clients complain of six-fold hike after rates volatility hits dealers' par swap hedges
Client list reveals HFT dominance on BrokerTec
Barclays and JP Morgan only banks on list of top interdealer firms for US Treasuries
Competition is saving end-users from euro swaps price hikes
Swap dealers are often described as a cartel; right now, they are not acting like one
Cutting Edge introduction: Sticky SABR
Quants develop a hassle-free model that can handle negative interest rates
Hidden price pressures grow in euro swap market
Clients face wider bid/offer spreads, as dealers struggle to find liquid hedges
CME guaranty fund cut could lure new clearing members
Regional banks and prop shops eye direct membership, but FCMs see few benefits
The free boundary SABR: natural extension to negative rates
Antonov, Konikov and Spector adapt the popular SABR model to a negative rates environment
CCPs confront cleared swap basis threat
From Japan to Mexico, CCPs are trying to avoid repeat of CME-LCH price disparity
CCP basis market takes off – but will buy-side join in?
Dealers are encouraging asset managers to trade CME-LCH swaps
Banks and pension funds fall out over bond CSAs
Common ground hard to find as dealers try to cut leverage exposure
CME-LCH basis affecting choice of venue, say buy-siders
Pimco: price gap is now “material”; Eaton Vance says lowest cost is key factor
Bank swap books suffer as CME-LCH basis explodes
Per-bank losses estimated at $20m; CME could lose business
CME has “no plans” to corner invoice spread market
Dealers still worried exchange has motive and means to create monopoly