Interest rate derivatives
SwapClear may assist OIS development
London-based clearing house may consider helping to build OIS markets in minor currencies, as it continues to move its interest rate swap portfolio to OIS discounting
An implementation plan for the new standard CSA is set to be reviewed by the Isda board in September, with a first-phase roll-out expected as early as the second quarter of 2012
Profits at banks in Singapore issuing mortgages and loans based on SOR may be severely dented as the rate turned negative for the first time last week and is predicted to remain this way in the medium...
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More Interest rate derivatives articles
The CCP race is on down-under
Australia’s financial regulators are leaning towards mandatory clearing for the local interest rate derivatives market – and may conclude that any central counterparty that serves the market has to be based locally. Two firms are vying to be the dominant...
Libor manipulation lawsuits hit banks
At least 12 lawsuits alleging manipulation of Libor have been filed since April, and six different authorities – including the US Department of Justice – are investigating. But how would manipulation work in practice, and is there any evidence of...
Hearing on Libor class action venue due
US dollar Libor banks could find out details of a class action lawsuit against them as early as August
Libor fix?
At least 12 lawsuits alleging manipulation of Libor have been filed since April, and six different authorities – including the US Department of Justice – are investigating. But how would manipulation work in practice, and is there any evidence of...
General short-rate analytics
Alexandre Antonov and Michael Spector present an analytical approximation of zero-coupon bonds and swaption prices for general short-rate models. The approximation is based on regular and singular expansions with respect to low volatility and contains...
StanChart bests the rest for coporates derivatives in Asia
Corporates operating in the Asia-Pacific region have faced dramatic increases in many domestic currencies versus the US dollar, and large disparities between domestic and developed world interest rates during the past 12 months. Against this backdrop...
Half of interest rate swaps now being cleared, says Isda
$601 trillion notional OTC figure reduced to $0.9 trillion gross value after netting, collateral
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