Interest rate options
UK banks interest rate swap exposures fall £711bn
Credit derivatives exposures bucked the downward trend, growing 16% quarter on quarter
Hong Kong banks await guidance on IRRBB for risk-free rates
HKMA will steer how historical volatility data can be used for valuing new options contracts
OTC infrastructure service of the year: Capitalab
Risk Awards 2021: valiant effort to solve swaptions discounting problem wins praise from clients
IBA launches Sonia Ice swap rate
Test version of key benchmark is latest phase in switch from Libor to sterling risk-free rate
Rates and FX exchange-traded derivatives markets cooled in Q2
Interest rate options and futures turnover halved over three months to end-June
Corporates sprint to lock in low rates
Dealers are seeing increased demand for interest rate hedges despite higher execution costs
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
Bank disruptors: Crédit Ag taps AI to lure swaptions business
Machine learning model predicts client demand with high accuracy, giving traders an edge in pricing
Rate options and futures volumes plummet $10trn in Q3
Open interest in short-term options collapses 10% quarter on quarter
Short-term interest rate ETD notionals leap $14trn in Q2
Open interest in exchange-traded options with maturities of a year or less rise 19%
Short-term bets push interest rate option volumes higher
Open interest in short-dated contracts surges 23% from December to March
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
Interest rate ETD volumes tick up in Q3
Longer-dated contracts push total open interest higher
Interest rate ETD open interest drops in Q2
Open interest in options and futures contracts combined dropped 12%
Formosa swaptions trade under pressure from new Taiwan rules
Limit on investment by insurers is hitting issuance of Formosa bonds and related options
Interest rate ETD open interest soars
Outstanding positions at end-March hit $105 trillion
Swaptions CCP basis arrival raises wider valuation questions
Halting rollout of new prices highlights potential weak points in valuing illiquid products
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
China bond sell-off makes case for options market
Current hedging tools inadequate, but regulators reluctant to liberalise derivatives markets
Asia investors eye fund-linked structures amid US rate rises
Principal-protected fund-linked products on the rise as fixed-income investors seek safety
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
Derivatives house of the year: Citi
Risk Awards 2017: Simple vision has taken rates business a long way
Brexit hedging leaves Ficc books unbalanced
Market-making desks struggling to recycle some client flows ahead of referendum
Strength turns to weakness for old OTC market
Non-cleared notional falls $36 trillion as costs and complexity grow