Interest rate derivatives
MTS and WeMatch combine to launch euro swap MTF
New venue to start as interdealer but will soon take on Tradeweb in the dealer-to-client market
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
PBoC releases draft rules for Swap Connect
Foreign access to onshore CNY swaps limited to interbank bond market users, while Isda docs aren’t ruled out
Crypto gets to grips with interest rate swaps
New derivatives provide synthetic access to staking yields and are being used in structured products
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
The real deal: the challenge of real interest rates
Understanding real interest rate dynamics as inflation transitions is vital, say Crédit Agricole traders
ECB group sounds alarm on ‘sluggish’ Euribor
Money market participants question robustness of key eurozone rate after methodology changes
Canada approves term Corra rate
CARR restricts use cases but mulls allowing interdealer hedging of derivatives on new benchmark
Capital Group spearheads mutual fund trim of IR swaps books
Counterparty Radar: Manager cut 70% of its position in Q3 as space shed roughly $174 billion in holdings
Complying with climate risk framework standards for streamlined processes
Conscious that climate change affects all sectors of the economy, financial institutions are realising the significant impact this will have on their customers and, ultimately, their own profit margins.
SOFR remains elusive in US dollar collateral agreements
Derivatives users slow to amend CSAs amid market volatility and looming Libor deadline
FCA’s synthetic Libor plan could trigger US legal disputes
Tough legacy solution threatens to override existing fallbacks in some US law contracts
Degree of influence 2022: In the grip of volatility
Rough volatility, liquidity and trade execution were quants’ top priorities this year
Podcast: Leveraging Real-time Data Feeds For Faster Business Decisions
The markets have been on a very volatile ride in 2022, which makes low-latency data more crucial to the business.
World Omni ditched term SOFR tranche in latest ABS
Toyota deal drew ARRC’s ire, but some bankers still see a case for using term SOFR in auto ABS
Spat over Toyota deal stalls vote on easing term SOFR curbs
ARRC concerned by use of forward rate in securitisations, stands firm on swaps restrictions
Battle lines drawn as exchanges launch €STR futures
CME is betting its three-month contracts will give it an edge over Ice’s one-month version
Sterling interest rate ETDs plummet 28% in Q2
Investors cut open interest in futures and options contracts as crises piled up
Raiffeisen to rejoin Euribor panel, reversing exodus
Austrian bank’s return as benchmark contributor could be “turning point” for interbank rate, says administrator
Talking Heads 2022: Rates market ruckus
Inaugural interview series looks at how sell-side traders are adapting to a world of surging inflation and rates
Interest rate derivatives house of the year: Standard Chartered
Asia Risk Awards 2022
Citi taps Barclays vet to head euro swaps trading
Masson bolsters US bank's rates unit at critical juncture for the market
SOFR swap basis could pose ‘systemic risk’
Trading curbs must be loosened to prevent tripling of unhedgeable basis risk, says senior banker
A child of inflation: BNPP’s new macro trading unit
Talking Heads 2022: Currency and rates traders join forces at French bank as it plans to bring FX algos to US Treasury bonds