Swaps
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
Bounding Bermudans
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
Duffie: CCPs should prep to quash Sifi swap termination stays
Clearing houses need criteria for overriding stays on swap terminations, writes Darrell Duffie
Forex swap margin treatment uncertain ahead of VM deadline
With one month to go, market participants are still unsure how to treat foreign exchange derivatives
FVA: off the mark
With adjustments to increase, Darrell Duffie says dealers should improve weak valuation practices
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Change is the only constant in pricing swaps
Regulation is having unexpected effects on derivatives unwinds
Leverage ratio blamed for big swap unwind charges
Buy-siders complain of 'ridiculous' costs to exit trades
Barclays taps blockchain for equity swaps, options, swaptions
Regulatory capital savings offered by instant settlement of smart contracts on distributed ledgers
Mac swaps, swap futures face new tax threat
Isda urges US tax officials to postpone rule treating certain payments as loans
Liability-side pricing of swaps
Wujiang Lou presents a framework to compute recursive CVA and FVA via Monte Carlo simulation
Accounting puts brake on move to daily settled swaps
New margin approach threatens hedge accounting status, could hurt effectiveness
CFTC takes steps to clean up ‘garbage’ swaps data
Market participants frustrated at attempts to further standardise swaps in data reporting proposals
US regulators told to expect VM status change
Fed, FDIC and OCC told daily settlement of swaps will cut required capital
Dealers warn of hit to Asia from short margin transfer times
Japanese firms and Isda call for T+3 for cross-border uncleared swap trades
US Treasury calls for more transparency in cash markets
Officials seek better data "to understand the dynamics of these markets"
Buy side held back by confusion on cross-trading swaps
CFTC's swap trading rules hamper internalisation, lawyers say
Collateral option valuation made easy
Vladimir Sankovich and Qinghua Zhu develop a method to value cheapest-to-deliver option embedded in CSAs
Italian swaps scrap grips Europe
Dexia Crediop wins right to appeal against Italian city of Prato over €6.5 million swap claim
CFTC’s Massad woos energy firms with Dodd-Frank fixes
Agency chief sidesteps question over whether Gensler rushed rules
Highlights from Isda's 2015 AGM
Risk.net's coverage of Isda's 30th annual general meeting
Lehman vs Moore in swaps safe harbour showdown
Lawyers cool on Lehman's chances, but warn victory would harm swaps market
Primes re-pricing and exiting their tails
Start-ups struggling to establish multiple PB relationships
Pricing and hedging variance swaps on a swap rate
A pricing tool for fixed-income volatility products is introduced