Interest rate markets
China plans onshore renminbi cross-currency swap
Chinese corporates will now have access to onshore and offshore hedging markets
Sponsored statement: Société Générale
CEE and Russia in the spotlight – Société Générale interest rate and forex team focuses on the Russian corporate world
The CMS triangle arbitrage
The CMS triangle arbitrage
A Libor market model with a stochastic basis
A Libor market model with a stochastic basis
First offshore renminbi swaption accomplished in Hong Kong
The first offshore renminbi OTC swap option was carried out this week between BNP Paribas and HSBC in Hong Kong, brokered by Icap.
Post-shock short-rate pricing
Post-shock short-rate pricing
Dealers anticipate further Eonia volatility
Fasten your seat belts
Global OTC derivatives widely dispersed, Isda survey finds
Five largest US-based dealers hold 37% of total notional, trade association says
Pre-trade price transparency in IRS satisfactory – Isda survey
Current levels of pre-trade price transparency in interest rate swaps (IRS) are acceptable, according to an end-user survey conducted by the International Swaps and Derivatives Association.
Two curves, one price
The financial crisis multiplied the yield curves used to price interest rate derivatives, making traditional no arbitrage pricing no longer valid. By taking into account the basis adjustment bootstrapped from market basis swaps and using a foreign…
SGX AsiaClear sets sight on becoming Asia's CCP for rates and FX swaps
SGX president Muthukrishnan Ramaswami says the new interbank OTC clearing service for SGD and USD interest rate swaps will target Asian banks as a start, and soon global investment banks that trade with Asian counterparties. Asian local currencies non…
Two curves, one price
Interest Rate Derivatives
Derivatives growth slowed over crisis, BIS finds
Growth was flat in several interest rate and forex derivatives categories between 2007 and 2010
FSC clamps down on unsecured lending while bolstering Korean repo market
Reform to broaden the use of the onshore repo market in South Korea is expected to help smaller banks and financial institutions better manage their short-term funding and reduce systemic risk. It should also facilitate the development of interest rate…
Asia Risk 15: A steep learning curve for interest rate derivatives
Asia’s interest rate markets have matured significantly during the past 15 years and now offer a full array of onshore and offshore hedging and investment options to end-users. Georgina Lee reports
Asia Risk 15: Interdealer brokers in quest for deeper liquidity
Interdealer brokers have continued to build ever-deeper pools of liquidity in Asian markets as they have forged profitable businesses from Asia’s fragmented economies. While moves to electronic platforms are gaining momentum, relationships are still…
Surviving the liquidity squeeze
Excess liquidity in the euro funding markets halved at the beginning of July, causing Eonia to leap higher. The extent of the move surprised traders and caused problems for some participants. Christopher Whittall reports
ECB may extend full allocation tenders into 2011
Any withdrawal of liquidity by the ECB at year-end would cause major uncertainty, say bankers
Two curves, one price
The financial crisis has multiplied the yield curves used to price plain vanilla interest rate derivatives, making classic single-curve no-arbitrage relations and pricing formulas no longer valid. Marco Bianchetti shows that no-arbitrage can be recovered…
Smooth calibration of Markov functional models for pricing exotic interest rate derivatives
The Libor market model is widely used but often criticised for its slowness. Nick Denson and Mark Joshi develop an accurate and stable calibration procedure that allows for the effective use of a control variate
Shift to CPI will not impact pension fund inflation hedging demand – M&G
Limited impact of CPI change on pension funds inflation hedging
Heightened event risk as ECB excess liquidity shrinks
Dealers eagerly watch European Central Bank tenders as new maintenance period is set to begin
Dealing with funding on uncollateralised swaps
Many banks are now using their own cost of funding as a discount rate when pricing non-collateralised swaps trades. How are banks dealing with the difference in funding rates when quoting derivatives prices, and could this influence a client’s choice of…