Interest rate derivatives
Dealers pitch loan format for swaps as CVA dodge
Banks are offering to replicate the economics of OTC swaps in loan format - avoiding new capital and clearing rules
A new standard credit support annex will be launched within months and is meant to curtail disputes over the valuation of collateralised derivatives trades. But only a handful of firms are expected to...
New product design has been on the wane for the past few years, but there are still ideas floating around. This month’s technical section includes an article exploring a potentially interesting market...
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CMS: covering all bases
Simon Cedervall and Vladimir Piterbarg develop a new vanilla model that directly links constant maturity swap (CMS) and payment convexity in general payouts to volatilities of swaptions of all relevant tenors, as well as prices of CMS spread options,...
Full implications for CMS convexity
Simon Cedervall and Vladimir Piterbarg develop a new vanilla model that directly links constant maturity swap (CMS) and payment convexity in general payouts to volatilities of swaptions of all relevant tenors, as well as prices of CMS spread options,...
CMS: covering all bases
Simon Cedervall and Vladimir Piterbarg develop a new vanilla model that directly links constant maturity swap (CMS) and payment convexity in general payouts to volatilities of swaptions of all relevant tenors, as well as prices of CMS spread options,...
The new normal: structurers learn to live with low interest rates
Rock bottom interest rates in a difficult macro environment and the prospect of upcoming regulations have led to a need for banks to focus on products optimised around constraints. As the mood remains cautious in Europe and many developed markets approach...
Margin minutiae at issue in Jefferies v IDCG suit
Jefferies is suing International Derivatives Clearing Group over claims the central counterparty’s futures contracts would replicate over-the-counter swaps – a case that turns on collateral and margin differences in the cleared and uncleared markets....
Eris Exchange: Brady's bunch aims to make swap futures a hit
Swap futures have had some bad press in recent weeks, but Eris Exchange insists it can make them work - and add diversity to the OTC market as a result
CME and IDCG revalue swaps using OIS discounting
Switch to OIS comes a year after SwapClear revalued parts of its portfolio
Using market and credit risk analytics to strengthen performance
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This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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