Interest rate markets
CME and IDCG revalue swaps using OIS discounting
Switch to OIS comes a year after SwapClear revalued parts of its portfolio
SwapClear may assist OIS development
SwapClear may assist OIS development
New standard CSA could be rolled out in Q2 2012
An implementation plan for the new standard CSA is set to be reviewed by the Isda board in September, with a first-phase roll-out expected as early as the second quarter of 2012
SOR headache for Singapore banks as rates enter negative territory; MAS defends stance
Profits at banks in Singapore issuing mortgages and loans based on SOR may be severely dented as the rate turned negative for the first time last week and is predicted to remain this way in the medium term
The CCP race is on down-under
Australia blue
Libor manipulation lawsuits hit banks
Libor in a fix?
Hearing on Libor class action venue due
US dollar Libor banks could find out details of a class action lawsuit against them as early as August
Libor fix?
At least 12 lawsuits alleging manipulation of Libor have been filed since April, and six different authorities – including the US Department of Justice – are investigating. But how would manipulation work in practice, and is there any evidence of it so…
General short-rate analytics
Alexandre Antonov and Michael Spector present an analytical approximation of zero-coupon bonds and swaption prices for general short-rate models. The approximation is based on regular and singular expansions with respect to low volatility and contains a…
StanChart bests the rest for coporates derivatives in Asia
The standard bearer
Half of interest rate swaps now being cleared, says Isda
$601 trillion notional OTC figure reduced to $0.9 trillion gross value after netting, collateral
Eurostat continues to deny knowledge of Greece-Goldman swaps
Statistics body insists it only found out about the controversial cross-currency swaps between Greece and Goldman Sachs in 2010
Bank of Korea wrong-foots market with rate hold; questions raised on anti-inflation stance and bank NPLs
The Bank of Korea held interest rates yesterday in a surprise move which caught fixed-income traders who had factored in a 25-basis point rise by surprise. The move questions Korea’s efforts to tackle inflation and raises concerns that the central bank…
Structured hybrid products prove popular in Korea
Reinforcing structures
BNP Paribas takes €108 million hit on swaps after switch to OIS discounting
French bank becomes the latest to divulge a revenue impact from a change to overnight indexed swap discounting
General short-rate analytics
General short-rate analytics
Multi-currency CSA chaos behind push to standardised CSA
The evolution of swap pricing
Yen interbank funding market calm as government bond yields retrace
The reduced scale of hedge fund carry trade activities compared with previous crises such as the collapse of Lehman Brothers in 2008 has reined in potential increases in the yen libor rate and short-end JGBs.
Derivatives exchange volumes leap 26%
Derivatives exchanges report a spike in trade volume on the back of growth in Asia-Pacific and Latin America, and strength in the commodities sector.
Multi-currency CSA pricing issue needs to be resolved
Pricing post-crisis
Multi-currency CSA chaos behind push to standardised CSA
The evolution of swap pricing
Nasdaq OMX to launch Nordic swap CCP
Stockholm-based service already has Swedish debt office on board. Launch planned for second half of 2011
China plans onshore renminbi cross-currency swap
Chinese corporates will now have access to onshore and offshore hedging markets