Interest rate markets
Cutting Edge 2013: fixing SABR
Fixing SABR
Europe set for swap futures shoot-out
Up to eight venues are gearing up to launch interest rate swap futures in Europe – each with a different take on the product. What does the market make of their chances? Tom Osborn reports
French life insurers face lapse risk hedging problems
French life insurers have to pay back their customers at the drop of a hat – an exposure that rises in tandem with interest rates, as customers seek better returns elsewhere. But with the industry’s traditional hedge for this risk now too pricey,…
RBI and industry disagree on new interest rate future structure
Indian regulators try an under-the-radar approach to launching a domestic interest rate futures market
Libor set to remain as benchmark rate for OTC derivative contracts
Legacy issues and the lack of alternative benchmarks mean Libor will remain the default benchmark of choice for OTC transactions
Shanghai's free trade zone to spur China interest rate hedging market
The Shanghai FTZ could prove a rival to Hong Kong if the experiment is a success
Liquidity & Funding Risk 2013: Don't rely on forward guidance, say ALM chiefs
Forward guidance alone is of little use from a liquidity planning point of view, conference hears
Swap futures start-up needs dealer support, says buy side
New London-based platform has buy-side fans, but no publicly declared backing from market-makers
IsdaFix faces rival based on swap repository data
New end-of-day benchmark is "much harder to manipulate" than industry standard IsdaFix
Indian corporates turn to swap markets as dollar funding evaporates
US dollars in short supply as rupee tumbles
Fast gammas for Bermudan swaptions
Fast gammas for Bermudan swaptions
SABR spreads its wings
SABR spreads its wings
CME confronts swap future tax fears
Some users of the CME contract have avoided taking delivery of an OTC swap over fears it would be taxed as a loan
Bar on bank participation to stymie China Treasury bond futures market relaunch
Despite banks holding an overwhelming majority of the domestic bond market they are barred from participation in futures trading
Expectation of US rates rise moves USD/CNH currency basis
Exit of "tourist money" from Asia provides more attractive funding options for firms swapping CNH into USD
Futures vs FRAs inversion baffles market participants
Futures rates should always exceed those of the corresponding forward rate agreement, finance theory states. So why did the Euribor markets contradict this in May, with a so-called negative convexity adjustment? Laurie Carver reports
CME finalising plans for swaptions clearing
Swaptions said to have passed CME’s risk committee, and may now be included in CME Clearing Europe’s application to Esma for reauthorisation
A quadratic volatility Cheyette model
A quadratic volatility Cheyette model
Lois: credit and liquidity
The spread between Libor and overnight index swap rates used to be negligible – until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders’ liquidity and typical borrowers’ credit risk. By…
SABR goes normal
SABR goes normal
Standardised OTC swaps spice up futurisation fight
Returns of the Mac
Isda AGM: Template for standardised interest rate swaps launched
Isda and Sifma jointly unveil market-agreed coupon standardised interest rate swaps
Standardised OTC swaps to launch within weeks
Isda-Sifma working group discussions continue but trueEX prepares to list OTC swaps with standard coupons and IMM dates