Interest rate markets
SABR convexity adjustment for an arithmetic average RFR swap
A model-independent convexity adjustment for interest rate swaps is introduced
The curious case of backward short rates
A discretisation approach for both backward- and forward-looking interest rate derivatives is proposed
Cross-currency swaps will use RFRs on both legs, says JP exec
Despite slow start, all-RFR swaps will become the market standard within a year, according to Tom Prickett
June mid-month auctions – Coupon and yield trends
As Treasury issuance amounts set new records, coupons at the front end of the curve have marched downward, while back-end coupons have lagged. Yield spreads across each popular measure show a consistent steepening of the curve through the first half of…
Forging a third way: Bringing efficiencies and standardisation to the non-cleared swaps market
Sponsored survey analysis: LCH
LCH set to clear 50-year Sonia swaps
Clearing house says it will clear long-dated swaps linked to the sterling overnight rate by end of 2017
ECB backed to fix floundering euro swaps reform
Swiss, UK and US progress leaves euro swaps market playing catch-up in rates reform
Banks calm on Eurex-LCH basis volatility
Past basis blowouts prepared banks for movements, say traders
Mixing SABR models for negative rates
Antonov, Konikov and Spector use an exact formula for the normal free boundary SABR to construct an arbitrage-free mixed SABR model
Swiss rate reform set to trigger swap value change
Tois discounting rate set to be replaced in 2018 by Saron, which is 20bp lower
OTC market resisting swap futures threat
Swap futures yet to break out, but backers see margin, accounting and Citadel as tailwinds
Swap 4175: how a hedged loan became a €600m dispute
City of Linz v Bawag case underlines risks in municipal derivatives
BoE plans could force change to Libor-Sonia swap payments
Reformed Sonia proposals may see floating-leg settlements delayed
Flylets and invariant risk metrics
Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
Negative Euribor erodes securitisation profits
Implicit floors in notes leave originators facing cost of negative rates on hundreds of tranches
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
Opened interest: foreign firms eye China's rate swap market
However regulatory and operational challenges set to slow growth
LCH-JSCC basis to boost XVA acceptance in Japan
Prices now "can't be explained without reference to XVAs", says Nomura credit head
Mortgage investors grapple with negative swap spreads
Collapse of US swap rate creates problems for valuation models
Nordic clearing members eliminate Skr288 billion IRS notional
Nasdaq Clearing’s first compression run to be continued twice a year