Interest rate derivatives
BoE's Sonia fixation complicates secured rate transition
Bank's continuation of Sonia could jeopardise shift to secured rate as Libor replacement
LCH-JSCC basis rockets for cleared yen swaps
Cost of receive-fixed swaps at JSCC jumps fivefold in a week
Regulators have 'keen interest' in FRTB liquidity effect
Isda AGM: Japan central banker says regulators should analyse liquidity impact of capital rules
ABN Amro cuts rates swaps from €24bn covered bond programme
High cost of downgrade triggers forces Dutch bank to use alternative hedge
Swiss eye Saron for risk-free rate
Working group considers one rate to rule them all
Benchmark reform could hit cross-currency basis
Traders criticise fragmented development of new risk-free rates
Freddie Mac reviews $600bn hedge book as losses mount
Swap spread inversion contributed to derivatives losses of $2.7 billion in 2015
Swap auction frictions prompt search for new tactics
Standards may be needed to preserve benefits of credit-auction approach to big swaps
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Slow start to US dollar rates clearing in Japan
Dealers cite limited demand to clear foreign currency interest rate swaps at JSCC
Barclays ousts head of rates trading
Yarian out after UK bank announces major shake-up of global investment banking operations
Eonia ‘almost meaningless’, says Eurex
Thin volumes in unsecured lending market should be a cause for concern, bourse operator argues
NAB pushed into clearing role by Clydesdale spin-off
Both parties felt it might be difficult for the UK bank to find a clearing provider alone
Hedge, reinsure or restructure: insurers mull risk-margin fixes
Advisers are pitching ideas to help companies deal with rate-sensitive risk margin
Cutting edge introduction: Jumpy wrong-way risk
Quants propose easy approximations for modelling wrong-way risk in CVA frameworks
Bank rankings 2015: Slaves to the rhythms
Interesting trends have emerged as regulatory change starts to bite
CME guaranty fund cut could lure new clearing members
Regional banks and prop shops eye direct membership, but FCMs see few benefits
CCP basis driving CME clients to LCH, traders say
LCH sees doubling in client notional, while CME notional halves
Nomura exec: client clearing scale insufficient outside Japan
Competition is set to intensify for Japan OTC clearing market as Sumitomo Mitsui Trust Bank starts client clearing
CME-LCH basis to persist, say dealers
Banks not convinced by CME plans to lure dealers from LCH.Clearnet
CME-LCH basis affecting choice of venue, say buy-siders
Pimco: price gap is now “material”; Eaton Vance says lowest cost is key factor
Risk España Rankings 2015
Steady as she goes
Fears over Shibor manipulation slow China IRS market
Market players express doubts over accuracy of quotation system
Vietnam needs benchmark to kick-start onshore rates market
Government needs to establish local rates standard, say global banks