Interest rate swaps
Monthly swaps data review: a day in the life of a swap
As US rate-setters met last month, real-time reporting showed the impact on swaps
The changing face of European interest rate swaps trading
Sponsored webinar: Tradeweb
Benchmark fallbacks should be regulated, says industry
Fears of basis risk unless all users are obliged to write backup rates into legacy contracts
Dexia official acquitted of alleged swaps fraud in Italy
City of Prato likely to appeal despite perjury claims
Monthly swaps data review: ADV for OTC derivatives
Daily volumes are a pillar of the futures market, and can now be found for US swaps
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
Euro clearing relocation ‘will inform’ US cross-border policy
Isda AGM: CFTC’s Giancarlo says geography has been no barrier for EU CCPs in the US
LCH warns on euro clearing land grab
Isda AGM: location policy would result in higher margin costs, lower liquidity, says Maguire
trueEX sues Markit over threat to withdraw service
Sef claims it would be forced out of business if it loses access to MarkitSERV
French regulator lays out plan to capture London euro clearing
AMF calls for equivalence to be scrapped for biggest CCPs and trade repositories
CVA, fraud and settlement risk
April 28–May 4, 2017
Dexia faces fraud charges over ‘hidden costs’ in swaps deal
Italian fraud trial could spell trouble for other banks providing municipal swaps contracts
Banks calm on Eurex-LCH basis volatility
Past basis blowouts prepared banks for movements, say traders
Monthly swaps data review: Libor dominance challenged
There are more sources of over-the-counter derivatives data available today than at any point in the market’s history
The covered interest parity conundrum
Darrell Duffie explains why it’s difficult to arbitrage direct and swap-implied funding rates
Monthly swaps data review: volumes rise, CCP switches spike
In the first of a new series of articles, Amir Khwaja of Clarus FT looks at the most recent batch of swaps data
Swiss rate reform set to trigger swap value change
Tois discounting rate set to be replaced in 2018 by Saron, which is 20bp lower
XVA at the exercise boundary
Andrew Green and Chris Kenyon show how the decision to exercise an option is influenced by XVAs
Rates flow market-maker of the year: Citadel Securities
Risk Awards 2017: New entrant showed swaps staying power as rivals fought back in 2016
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2017: New macro group proves worth in Brexit and US election drama
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
Mixed views on Dodd-Frank rollback
No need to dump central clearing and electronic trading mandates, market participants say
OTC market resisting swap futures threat
Swap futures yet to break out, but backers see margin, accounting and Citadel as tailwinds