Interest rates
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
Libor death threatens to blow hole in hedges
Isda AGM: BlackRock, Fed stress need for fallbacks to marry up across rates universe
US banks weather Libor basis spike
Thirty-plus basis point divergence recorded in first three months of 2018
Broker hid yen swaptions basis after trader backlash
Japan’s Totan had been first to show volatility basis; sources speculate traders wanted to avoid re-marking books
JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
Basel liquidity rules block Fed’s QE exit
LCR and NSFR could produce $1 trillion shortfall in plans for balance-sheet ‘normalisation’
Swaps users face tense wait for Euribor all-clear
Euro swaps market would have a year to replace rate if it fails to comply with EU benchmark rules
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
The impact of unconventional monetary policy shocks on the crude oil futures market
This paper examines how West Texas Intermediate (WTI) crude oil price returns and volatilities respond to changes in US monetary policy.
Reinsurers take on role providing Solvency II capital relief
Firms such as RGA are covering surrender risk, offering to replicate matching adjustment
La Française finds success in focus on quantitative premia and credit strategies
Launching a hedge fund business in February 2013 may have seemed an unusual move at the time, but for the co-founders of La Française Investment Solutions (LFIS) it has proved a logical and successful one
Digitally adapting to regulatory change
Winners' Circle Q&A: Structured Products Europe Awards 2017 | BNP Paribas
Fed’s Powell on Libor reform, repo and clearing
Risk30: Market doesn’t need to “clear all US dollars in US and all euros in eurozone” says next Fed chair
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
Insurers press case for new-look risk margin
Firms call for lower cost of capital and link to interest rates in key element of Solvency II
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
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2017: New macro group proves worth in Brexit and US election drama
BIS’s Shin links dollar strength to global malaise
Framework could answer many questions economists have struggled with in recent years
Flylets and invariant risk metrics
Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
Interest rates house of the year: Societe Generale Corporate and Investment Banking
Multi-asset capabilities and risk recycling allow the bank to bring hit solutions to the market
Sterling swap rate collapse hits structured deposits
Post-Brexit halving of five-year swap rate sees Hartmoor pull FTSE deposit plans