Constant maturity swaps
Achieving net zero with carbon offsets: best practices and what to avoid
A survey by Risk.net and ION Commodities found that firms are wary of using carbon offsets in their net-zero strategies. While this is understandable, given the reputational risk of many offset projects, it is likely to be extremely difficult and more…
How derivatives management is changing post‑Covid‑19
Risk.net explores five derivatives trading themes discussed by experts in a recent webinar sponsored by Numerix
Government bond swaptions and how they might work
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Tradition to launch first SOFR order book
Streaming swap prices are a critical step to creating term rates for loan markets
Ice swap rate adds safety net with Tradeweb quotes
Inclusion of dealer-to-client prices will boost publication rate in stress periods, IBA claims
Swaps benchmark vanishes as traders flee firm price venues
Dollar Ice swap rate fails to publish in March rout; patchy Sonia Clob prices could delay term rates
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end
Evolution or extinction: Ice swap rate’s post-Libor quandary
Thin liquidity in SOFR swaps imperils reference rate for $40 trillion swaptions market
Fixing floaters: how the 10y10y rate can save FRNs
Experts from Crédit Agricole’s rates team explain how use of a forward euro fixing can bring positive carry and improve coupons
Local stochastic volatility: shaken, not stirred
Dominique Bang introduces a novel LSV approach to term distribution modelling
Korean insurers shun structured notes ahead of IFRS 9
Prospect of earnings volatility blamed as big buyers of notes turn to less exotic assets
Ripple effect: The impact of moving away from Libor
Sponsored Q&A
Duelling repack platforms find common ground
Standard documentation initiative mulls shared SPV model as founders seek to join rival
Putting swaptions pricing in the fast lane
Derivatives consultant proposes a model for arbitrage-free pricing
Discrete time stochastic volatility
Quant proposes faster model to price arbitrage-free swaptions
Interest rates house of the year: Societe Generale Corporate and Investment Banking
Multi-asset capabilities and risk recycling allow the bank to bring hit solutions to the market
Asian private bank clients switch to rate structures
Stock market falls steer clients away from traditional equity focus
Deal of the year: Crédit Agricole Corporate & Investment Bank
French bank triumphs with bond repack
Structured products demand in Taiwan hit by low volatility
Taiwan insurers shun structured products amid low volatility and rates
French life insurers face lapse risk hedging problems
French life insurers have to pay back their customers at the drop of a hat – an exposure that rises in tandem with interest rates, as customers seek better returns elsewhere. But with the industry’s traditional hedge for this risk now too pricey,…
