Ice swap rate failure disrupts exotics desks
Dollar version of rate wasn’t published on nine out of 22 working days in August
A key dollar swap rate failed to publish on nine occasions during August, including on three consecutive days, causing problems for exotics traders who depend on the rate to price products such as swaptions and constant maturity swaps.
The failures in the Ice swap rate have renewed scrutiny of the benchmark’s fallback policies, namely a dealer poll or using the last available rate.
The second
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
BNP Paribas eyes selective algo white label tie-ups
The French bank struck its first FX algo white-labelling partnership with Lloyds
Ice: EU regulation simplification not happening in practice
Ice Clear Europe president says excessive EU checks distract firms from addressing real financial risk
DRW’s Wilson: regulatory confusion hinders euro stablecoins
Conflicting interpretations of EU rules will divert more capital to USD coins and away from euro assets, says Don Wilson
Cboe pushes to harmonise equity options specs
Standardisation of expiry times and dates will boost European markets, exchange exec says
FCMs take wait-and-see approach to digital collateral
“It takes a very brave person to be the first mover,” says David Martin at GH Financial
Bankers feeling even more bullish after tariff selloff
Risk Live: “This is a powerful bull market that has legs to run,” says former Credit Suisse CIO
Deutsche Bank exec urges EU to consider competitiveness
As global rules diverge, pressure mounts on bloc to ensure reforms don’t hold back its banking sector
Will Taiwan lifers ramp up FX hedging amid tariff turmoil?
As TWD remains strong against the US dollar, Taiwanese life insurers are still poised to act
