Interest rates
Money funds turn to Fed facility amid record inflows
MMFs are accepting 0% returns and waiving management fees to avoid ‘breaking the buck’
Libor webinars: loans, bonds and derivatives
Listen here to three Risk.net webinars, covering topics from transition timelines to market turmoil
Libor webinar playback: spotlight on derivatives
Panellists from Deutsche Bank, LCH, Numerix and Tradeweb on transition timelines, volatility and discounting
FX vol revived by Covid-19 – but for how long?
Traders split on whether virus impact, or central bank responses, will prove most powerful
Corporates sprint to lock in low rates
Dealers are seeing increased demand for interest rate hedges despite higher execution costs
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
Munich Re’s capital requirement jumped 19% in 2019
Interest rate declines added €2.2bn to SCR
Pandemic threatens Libor transition plans
Resources diverted to Covid-19 response, as RFR-Libor basis spikes on stress
Bonds and swaps struggled in virus volatility
Low liquidity and wider spreads amplified by remote working, traders claim
BoE’s new Sonia index gets a thumbs-up from issuers
Calculating coupons based on compounded Sonia was “a real nightmare” for some
Rates trading revenues up 154% at top US banks
Net gains on interest rates-related exposures top $21 billion
Sliding rates crimp Allianz’s Solvency II ratio
Solvency II ratio down 17 percentage points year-on-year
€5trn of Eonia swaps mature after benchmark’s death
Almost 20% of derivatives notionals linked to retiring rate will expire post-2022
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
EU compounding confusion creates headaches for banks
With the fallback possibly illegal in some EU states, loan system updates may become more complicated
EU life insurers’ solvency ratios decay in first half
Aggregate SCR ratio for life undertakings down 9%, Q2 2018–Q2 2019
Euribor fallbacks could hit thin legal ice
In Italy and Germany, compound interest – the foundation of Euribor fallbacks – is actually illegal
JSCC had a top margin breach of ¥114m in Q3
Three backtesting exceptions disclosed for 12-month period to end-September
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2020: US bank leads the way on SOFR, and gets creative to facilitate US insurer hedging
Buy-side risk manager of the year: Vanguard
Risk Awards 2020: Fund giant gave more risk work to machines this year - from duration hedging to op risk
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
FVA – Time to go asymmetric?
Despite being introduced over six years ago, there is still no market consensus on how to calculate funding valuation adjustments. One point of contention is whether to use the same funding curve for borrowing and lending (symmetric funding) or to use…
Europe eyes the pitfalls of Japanification
Does the cultural and demographic experience of Japan apply to a heterogeneous grouping of nations that have no common monetary policy or a unified social outlook?
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world