Interest rates
Banks given conflicting guidance on Libor loan facilities
Some banks have been told they can continue to honour uncommitted dollar Libor lines in 2022
Interest rate ETD volumes drop in Q3
Shorter-dated contracts led the way, falling 9% quarter on quarter
JP Morgan, Goldman lead US banks in cutting VAR-based charges
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
Loan markets call for clarity on scope of US Libor ban
Regulators must address “grey areas” in uncommitted facilities, urge participants
Buy-side rates traders staying on sidelines after wild October
Funds cautious after staggering collapse of the year’s steepener trade
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
Santander’s VAR surges 17% in Q3
Macroeconomic jitters push credit spread and interest rate risk up, but bank’s traders net income windfall
Early movers get better pricing on SOFR loans
Borrowers making the jump to SOFR before year-end are being offered more favourable spread adjustments
Climate risk: the writing is on the wall
For the EU financial sector, climate risk is inescapable, but it could be tamed
Risk management consultant of the year: Acies
Asia Risk Awards 2021
Interest rate ETD volumes up 40% from 2020 nadir
Shorter-dated contracts push total open interest higher
Iosco steps up scrutiny of credit-sensitive rates
Standard setter calls for rates to prove compliance through stress scenarios to retain hallmark
The relationship between oil prices, global economic policy uncertainty and financial market stress
This paper introduces two models: the first analyzes the impacts of global economic policy uncertainty, gold prices and three-month US Treasury bill rates on oil prices between 1997 and 2020, and the second examines the effects of oil prices and US…
Podcast: Colin Turfus on short-rate models and Libor’s end
Deutsche Bank quant proposes a lean model to quickly produce benchmark prices
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Risky caplet pricing with backward-looking rates
The Hull-White model for short rates is extended to include compounded rates and credit risk
The curious case of backward short rates
A discretisation approach for both backward- and forward-looking interest rate derivatives is proposed
Libor is ending, and corporates need to know their options
Banks must speak to Main Street now if US Libor transition is to succeed, argue ARRC working group leaders
Fractured Libor transition halts US structured rates switch
Issuance of non-Libor caps and floors dries up as lending markets mull array of credit-sensitive SOFR rivals
Sharpening the tools – Preparation for UMR phase five
A forum of industry leaders discusses the suitability of Simm for phase five firms, how they can optimise portfolios to minimise margin costs and how the lessons learned from previous phases can help them prepare
SOFR alternatives remain on track despite regulatory warnings
Pointed criticism from FSOC has done little to dampen interest in credit-sensitive rates
Notionals for rates ETDs rise 26% in Q1
Confidence in rate hikes is on the rise, but the jury’s out on how fast
SEC’s Gensler takes aim at Bloomberg’s BSBY index
Credit sensitive SOFR alternative has “many of the same flaws as Libor”, regulator says
The Libor replacement stakes: runners and riders
Credit-sensitive rates Ameribor and BSBY nose ahead of Ice, Markit and AXI; regulators keep watchful eye