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
Meta breaks ranks on FX hedging
Social media firm is first of three unhedged Mag 7 tech companies to begin using currency forwards
Financing Connect: real-time optimisation in private credit financing
J.P. Morgan’s Financing Connect, part of its Vida platform, reflects a shift towards structured data and scenario-driven analytics
Iran selloff wipes out dispersion profits
Popular indexes down 5% in March, despite low realised correlation; some short bets see gains
YCC, carry trades and the changing role of the yen
Marcello Minenna argues that as the BoJ adjusts its policy regime, changes in carry positioning are increasing the instability of the correlation between exchange rates and yield differentials
From pink tickets to Python: Toby Baker on 40 years in FX
T Rowe Price’s departing FX head reflects on the pain points and keys to success for a modern buy-side trading desk
Franklin Templeton closes $5bn yen options book
Counterparty Radar: Asset manager’s bets on USD/JPY soured as yen weakened through Q4
Hedge funds retreat to sidelines in euro steepeners
Rate hike repricing and stop-losses have gutted positioning in once-dominant 10s30s bet
PBoC reserve ratio cut spurs short-term FX hedging
Removal of 20% forex risk rule drives exporters towards options and onshore forwards
