Swaps
Podcast: Mats Kjaer on how trades affect the balance sheet
Bloomberg quant has developed a balance-sheet model for XVA pricing
In the balance redux
Mats Kjaer developes a dynamic balance-sheet pricing model for valuation adjustments
Brexit disruption, fire sales and climate risk
The week on Risk.net, October 5–11, 2019
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
Swaps data: are the new RFRs on track to replace Libor?
Progress on volumes of SOFR and Sonia swaps and futures
Deal misfires expose risk of contingent hedging
Banks hike premiums on deal contingent swaps amid Brexit uncertainty
Gaming tests, loss provisions and synthetic Libor
The week on Risk.net, September 28–October 4, 2019
Realising opportunities while managing conduct risk
As efforts to transition from Libor to risk-free rates ramp up, Maria Blanco and Nassim Daneshzadeh, partners in PwC’s US and UK financial services practices, discuss two critical and interconnected strategies that are front and centre for PwC clients
ESG investing: It’s not just great to be good
Investing according to environmental, social and governance (ESG) criteria can be done in various ways, with continuing development of filters and ways of analysing companies. As the market in ESG indexes and investments linked to sustainability matures,…
€STR swap trading gets under way
HSBC and JP Morgan strike first swap linked to the new euro short-term rate
Ice swap rate failure disrupts exotics desks
Dollar version of rate wasn’t published on nine out of 22 working days in August
Looking forward to backward‑looking rates
Interbank offered rates are critical in the world of contracts and derivatives, acting as reference rates in millions of financial contracts and with a total market exposure in the hundreds of trillions of dollars. Bloomberg explores why offering…
Libor transition and implementation – Covering all bases
Sponsored Q&A
Isda sets two options for Libor fallback spread
Historical spread adjustment to be based on five-year median or 10-year mean
Volume-starved SOFR leaves quant hankering for data
At T Rowe Price, a top quant is tired of SOFR being “yanked around by the liquidity premium”
Renminbi contracts grow share of interest rate derivatives turnover
Instruments denominated in non-G10 currencies accounted for 3.8% of average daily turnover in April 2019
Short-term contracts dominate interest rate derivatives turnover
Overnight index swaps made up 31.5% of daily average turnover in April
LCH sets €STR swap clearing launch date
Clearing house to offer the swaps from October 21, discounted at Eonia
Eurex to launch cross-currency swap clearing ‘within weeks’
Clearing service will target dealer-to-dealer trades before later rolling out to clients
Patchy grasp of Libor reform worries Asia lenders
Widespread lack of understanding could hinder renegotiation of loan terms
Singapore looks to establish term RFR by 2020
Swaps linked to overnight rate will help create term structure, says industry committee member
Brexit flips LCH-Eurex basis
LCH-Eurex basis has inverted on buy-side flows, hitting –1.3bp at July low