Interest rate derivatives
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
The real deal: the challenge of real interest rates
Understanding real interest rate dynamics as inflation transitions is vital, say Crédit Agricole traders
ECB group sounds alarm on ‘sluggish’ Euribor
Money market participants question robustness of key eurozone rate after methodology changes
Canada approves term Corra rate
CARR restricts use cases but mulls allowing interdealer hedging of derivatives on new benchmark
Capital Group spearheads mutual fund trim of IR swaps books
Counterparty Radar: Manager cut 70% of its position in Q3 as space shed roughly $174 billion in holdings
SOFR remains elusive in US dollar collateral agreements
Derivatives users slow to amend CSAs amid market volatility and looming Libor deadline
FCA’s synthetic Libor plan could trigger US legal disputes
Tough legacy solution threatens to override existing fallbacks in some US law contracts
Degree of influence 2022: In the grip of volatility
Rough volatility, liquidity and trade execution were quants’ top priorities this year
World Omni ditched term SOFR tranche in latest ABS
Toyota deal drew ARRC’s ire, but some bankers still see a case for using term SOFR in auto ABS
Spat over Toyota deal stalls vote on easing term SOFR curbs
ARRC concerned by use of forward rate in securitisations, stands firm on swaps restrictions
Battle lines drawn as exchanges launch €STR futures
CME is betting its three-month contracts will give it an edge over Ice’s one-month version
Sterling interest rate ETDs plummet 28% in Q2
Investors cut open interest in futures and options contracts as crises piled up
Raiffeisen to rejoin Euribor panel, reversing exodus
Austrian bank’s return as benchmark contributor could be “turning point” for interbank rate, says administrator
Talking Heads 2022: Rates market ruckus
Inaugural interview series looks at how sell-side traders are adapting to a world of surging inflation and rates
Interest rate derivatives house of the year: Standard Chartered
Asia Risk Awards 2022
Citi taps Barclays vet to head euro swaps trading
Masson bolsters US bank's rates unit at critical juncture for the market
SOFR swap basis could pose ‘systemic risk’
Trading curbs must be loosened to prevent tripling of unhedgeable basis risk, says senior banker
A child of inflation: BNPP’s new macro trading unit
Talking Heads 2022: Currency and rates traders join forces at French bank as it plans to bring FX algos to US Treasury bonds
Natixis fined for mismarking US rates and equities positions
Former rates trader overstated P&L by $25m, while equities traders smoothed profits after 2018 windfall
CME preps April Eurodollar conversion
US exchange selects April 14, 2023 to flip open interest in heavily traded Libor contracts to SOFR
Margin costs leap on Simm rejig and rates hikes
Acadia finds roughly one-third jump in exposure following Simm recalibration, with higher funding costs adding to burden
Barclays confronts ‘implausible’ macro risks
Talking Heads 2022: Bank is reaping rewards of sticking with its trading businesses, says macro head Lublinsky
LCH cuts to the chase in SOR conversion plan
Proposal would skip interim stage in demise of Singapore’s outgoing rate
Esma warns new foreign clearing house rules could backfire
Löber says euro swaps trading may move away from CCPs that face toughest EU scrutiny