Interest rate derivatives
Banks warn clients of possible unwinds as VM deadline nears
Clients on old CSAs told they face unwinds and trading bans unless repapering talks underway
Regulator seeks Libor-style deal to prop up Euribor
Future of €180 trillion Euribor swaps market unclear as banks yet to agree support
Regulators split on Mifid swaps transparency
Esma and FCA divided over when participants must determine whether derivatives are trading on-venue
Replacing Libor: US swaps market eyes long to-do list
New timeline focuses minds on product and contract gaps – but some end-users want to stay put
Tradeweb’s Mifid bilateral trading plans draw fire
New process will class privately executed trades as on-venue to satisfy trading obligation
Dislocation policy: LCH exodus risks CCP basis blow-out
Questions about post-Brexit status of UK CCP could spark mass migration – and severe volatility
FCA’s Libor plans a ‘reality check’ for loans, bonds, RMBS
Chair of US benchmark group says surprise announcement will push rate reform beyond swaps
E-trading boosts mid-tier banks in rates and credit
New technology helps Natixis and Mizuho compete with major dealers in swaps and bonds
Banks tap equities and FX staff for fixed-income fizz
BAML, HSBC, RBC, StanChart among banks transferring e-trading know-how
Goldman’s veteran rates head moves to risk role
Three co-heads named after Pantazopoulos ends nine-year run at the head of rates group
CVA, fraud and settlement risk
April 28–May 4, 2017
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 in race against the clock
Time constraints and valuation headaches complicate swaps market transition from Tois to Saron
Clearing house of the year: LCH
Risk Awards 2017: CCP enjoys stellar year for volumes, and demonstrates willingness to adapt following Brexit stresses
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2017: New macro group proves worth in Brexit and US election drama
Exchange innovation of the year: CME Group
Risk Awards 2017: Patience pays off with spectacular success of Ultra 10 Treasury futures
Derivatives house of the year: Citi
Risk Awards 2017: Simple vision has taken rates business a long way
LSE-backed Libor replacement faces data wrangle
Proposed secured rate based on data from NEX, which has a competing offering
Mifir transparency rules could capture illiquid packages
Criteria to assess which package transactions are liquid are too broad, industry warns
CFTC looks to strengthen oversight of trading obligation
Chief counsel at CFTC highlights weaknesses of bottom-up approach to MAT determinations
LCH targets non-cleared market with radical new platform
Bilateral trades would be valued and margined using LCH swap curves
CSA reviews necessary after Sonia reform, lawyers warn
Benchmark administrator change may require amendments
BoE plans could force change to Libor-Sonia swap payments
Reformed Sonia proposals may see floating-leg settlements delayed
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models