Interest rate derivatives
Mandatory clearing in Hong Kong postponed until January
Banks will have a six-month grace period before they must finally start clearing by July 2014
A few large banks are renting out their credit ratings to protect structured finance vehicles from downgrades. But it’s a complex business, and it can come at a heavy cost to the original counterparties....
It is ‘highly unlikely’ that Korea will meet the deadline to start clearing OTC derivatives by January 1, 2013 due to legislative delays, according to market participants
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More Interest rate derivatives articles
Interest Rate Derivatives House of the Year – Standard Chartered
Asia Risk Awards 2012 winner: Standard Chartered – Interest Rate Derivatives House of the Year
Regional House of the Year – CIMB
Asia Risk Awards 2012 winner: CIMB – Regional House of the Year
UK banks face up to SME swap misselling claims
The UK’s big four banks are set to review 28,000 interest rate hedging trades with smaller companies after the Financial Services Authority found evidence of serious failings in sales practices. How widespread were the problems and what went wrong?...
Risk South Africa rankings 2012 - PLEASE VOTE
Have your say in this year's Risk rankings of South African derivatives dealers and brokers
Libor manipulation lawsuits could cost banks ‘tens of billions’
Barclays' $450m settlement gives lawyers smoking gun evidence of attempts to tamper with benchmark rates
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,...
Cutting Edge introduction: viva cross-vegas
The sensitivity of single-rate derivatives to implied volatility is traditionally only considered with respect to the underlying fixing, in effect collapsing the term structure to a point. But a full set of implied volatilities can be found using a new...
Using market and credit risk analytics to strengthen performance
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Using market and credit risk analytics to strengthen performance
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