Interest rate swaps
CME, Ice to launch repositories rivalling the DTCC
Banks have picked the DTCC to build a series of new derivatives repositories, but overlooked rivals CME and Ice vow to fight on
Lamb discusses CME Clearing Europe's goals
A clear goal
Grensted parts company with LCH.Clearnet
The clearer's head of business development - and one of SwapClear's architects - left the firm today
US still has no plans to give Asian sovereigns Dodd-Frank exemption, says Hong Kong regulator
Asian countries are concerned about the lack of Dodd-Frank Act CCP exemptions for sovereigns; proliferation of CCPs carries its own risks, say dealers
Central bank liquidity would help CCPs in distressed situations, says BIS
BIS weighs in on CCP central bank liquidity access debate
General short-rate analytics
Alexandre Antonov and Michael Spector present an analytical approximation of zero-coupon bonds and swaption prices for general short-rate models. The approximation is based on regular and singular expansions with respect to low volatility and contains a…
StanChart bests the rest for coporates derivatives in Asia
The standard bearer
Half of interest rate swaps now being cleared, says Isda
$601 trillion notional OTC figure reduced to $0.9 trillion gross value after netting, collateral
RBI deputy governor maps out the future of OTC derivatives in India
A number of new derivatives initiatives are in the pipeline in India, including the development of a credit default swap market, interest rate forwards and derivatives trade compression services, according to Subir Gokarn, deputy governor of the Reserve…
Isda AGM: clearing regionalisation comes with costs, warn Shirvani and O'Connor
Outgoing and incoming Isda chairs warn multiple CCPs with divergent standards will threaten market liquidity
China gives the go-ahead to forex options and cross-currency swaps
Hedging gains currency
Sponsored statement: LCH.Clearnet
Tested model proves the clear choice in Europe and the US
Yen interbank funding market calm as government bond yields retrace
The reduced scale of hedge fund carry trade activities compared with previous crises such as the collapse of Lehman Brothers in 2008 has reined in potential increases in the yen libor rate and short-end JGBs.
SGX could expand clearing to Australia post ASX merger
SGX could expand its OTC clearing service to the Australian market once a decision has been made on a merger with ASX, but it also plans to add new currencies and asset classes – including forex forwards
Nasdaq OMX to launch Nordic swap CCP
Stockholm-based service already has Swedish debt office on board. Launch planned for second half of 2011
CFTC trade rules will create 'winner's curse'
Analysts at Barclays Capital say block trade reporting rules under Dodd-Frank Act will create additional risk for dealers
Central banks accused of collateral hypocrisy
Despite the funding risk it creates, central banks still refuse to sign two-way collateral agreements
Dealers face funding time-bomb from one-way CSAs
Five banks disclose $30 billion obligation from one-way collateral agreements - and dealers warn costs could soar as interest rates rise
One-way CSAs pile up funding risk for banks
A call for collateral
Pension fund risk manager of the year: Pension Protection Fund
Risk awards 2011
Clearing house of the year: LCH.Clearnet
Risk awards 2011
Cash variation margin requirements worry pension funds
Having to post cash as variation margin to central counterparties (CCPs) will cause substantial yield losses for pension funds that conduct liability-driven investment (LDI) strategies, according to fund managers.
New value in Korean bond/swap basis play?
Upheaval in the currency markets as a result of fears of protectionist action by a number of emerging market countries to defend their competitive positions has created a raft of threats and opportunities in the financial markets, including a new play on…
Pre-trade price transparency in IRS satisfactory – Isda survey
Current levels of pre-trade price transparency in interest rate swaps (IRS) are acceptable, according to an end-user survey conducted by the International Swaps and Derivatives Association.