Overnight index swaps
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
Buy side applauds Sonia’s coronation as UK risk-free rate
Decision a ‘no brainer’ but some say rejected secured rates could prove useful
Monthly swaps data review: ETD vs OTC margin totals
New disclosures from big CCPs show listed market consumes more margin than cleared swaps
What to do about Libor?
Darrell Duffie explains why transition from Ibor-based benchmarks is necessary and feasible
Fed funds-linked swaps outstrip Libor for first time
Banks point to money market reform, Libor changes and Fed expectations as catalyst
Swiss rate reform in race against the clock
Time constraints and valuation headaches complicate swaps market transition from Tois to Saron
BoE: Libor reform needs swaps market support
“The dependence on term Libor fixings remains an unnecessary vulnerability,” writes BoE’s Salmon
Aussie market clearing well ahead of April mandate
Largest onshore derivatives dealers already caught by US and European rules
BoJ: unsecured overnight rate top pick for Ibor alternative
Isda AGM: New rate would complement rather than replace existing ones
Libor reform: the sound of silence
Moves to push swaps off Libor have generated surprisingly little noise
Beyond Libor: what reform plans mean for swaps users
Big bang still an option in plans to propagate new benchmarks
Isda would create protocol for swap rate ‘big bang’
Tool to allow for legacy contract amendments in case of OIS rate change
Philippines OIS watchdog tussle resolved, says SEC
Securities regulator – not central bank – will be overseer for long-planned new swap market
‘Frustration’ claims unlikely to hit Libor reform
FMLC's Joanna Perkins dismisses legal concerns about benchmark reform
Duffie: regulators may push swaps market off Libor
Even reformed Libor no longer a viable reference rate, says FSB adviser
Demand surges for India debt market access products
Real money accounts have driven a 30% increase in sales accross the sector
Pricing and hedging variance swaps on a swap rate
A pricing tool for fixed-income volatility products is introduced
OIS rate change easy to absorb, says Isda's O'Connor
Moving reference rate from Fed funds to GC repo rate to pose few problems
Central banks ready to break swap market's Libor habit
Powell says Fed will "make sure" move happens in coordinated fashion
Powell says Fed will ‘make sure’ swap market can ditch Libor
Central bank will coordinate switch to new risk-free benchmark
Cross-currency basis causes pricing headache for dealers in Japan
Yen and dollar funding discrepancies hit Nikkei options market
Libor set to remain as benchmark rate for OTC derivative contracts
Legacy issues and the lack of alternative benchmarks mean Libor will remain the default benchmark of choice for OTC transactions
Lack of local currency OIS markets problematic for Asia banks
The move towards OIS discounting is proving difficult enough for banks in US and European markets but firms in Asia are facing the added difficulty of a dealing with multiple currencies
Lois: credit and liquidity
The spread between Libor and overnight index swap rates used to be negligible – until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders’ liquidity and typical borrowers’ credit risk. By…