Interest rate derivatives
LCH.Clearnet considers revaluing $212 trillion swap portfolio
LCH.Clearnet could start using overnight indexed swap (OIS) rate curves rather than Libor to value its roughly $212 trillion swap portfolio, in response to changing market practice.
Winners of the Risk España dealer rankings explain how hedging related to sovereign debt issuance and Latin America will be key revenue sources in 2010.
Yield curves for sterling, the euro and the dollar are the steepest they have been for well over a decade, leaving companies with outstanding fixed-rate debt and large amounts of cash on balance sheets...
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More Interest rate derivatives articles
Negative carry presents corporate hedging conundrum
Steep interest rate yield curves cause corporate treasurers to focus on the cost of carry.
More to play for
Harry Harrison, head of rates trading at Barclays Capital, talks to Alexander Campbell
Against the grain
Pension fund performance in 2008 was appalling, with funding levels plunging across the globe – but some schemes sidestepped a funding crisis by focusing on effective risk management.
A reversal of power
Investor demand for power reverse dual currency structures has fallen off a cliff as these once high coupon-paying instruments have morphed into zero coupon bonds with lock-in periods of up to 30 years. Issuers have also incurred significant costs. Is...
Riding out the rise
Stakeholders in the Asian recovery have a nervous eye on the region’s central banks for signs as to when interest rates will rise this year – something that could weigh on equity returns and devalue the portfolios of bondholders. Changes in rates...
Isda pursues information missing from TriOptima rates repository
The International Swaps and Derivatives Association has canvassed external legal counsel from the Group of 20 (G-20) countries on their individual data privacy laws, which may have prevented full disclosure of trade data to the Interest Rate Trade Reporting...
Crunch day for rates repository as regulators await first reports
A new trade repository for interest rate derivatives operated by Swedish technology company TriOptima is due to send its first reports to regulators around the world today, dealers have told Risk. After a testing phase in November, dealers are believed...
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