Constant maturity swaps
Structured products demand in Taiwan hit by low volatility
Taiwan insurers shun structured products amid low volatility and rates
French life insurers face lapse risk hedging problems
French life insurers have to pay back their customers at the drop of a hat – an exposure that rises in tandem with interest rates, as customers seek better returns elsewhere. But with the industry’s traditional hedge for this risk now too pricey,…
Expanded forward volatility
Expanded forward volatility
JVB shows its rates traits
The low-rates navigator
Cutting edge introduction: exploring constant maturity asset swaps
Exploring constant maturity asset swaps
CMS: covering all bases
CMS: covering all bases
Full implications for CMS convexity
Full implications for CMS convexity
Constant maturity asset swap convexity correction
Constant maturity asset swap convexity correction
Cutting Edge introduction: viva cross-vegas
Viva cross-vegas
CMS: covering all bases
CMS: covering all bases
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Spread options, Farkas's lemma and linear programming
Structured hybrid products prove popular in Korea
Reinforcing structures
The CMS triangle arbitrage
The CMS triangle arbitrage
The callable countdown
JP Morgan has launched a callable countdown constant maturity swap range-accrual certificate of deposit that pays a coupon dependent on the proportion of days the CMS rate is within a 0-6.25% range. The tenor is 15 years and the product benefits from…
Interest rates call
HSBC is offering US investors a 10-year investment in interest rates that pays 7% in year one and potentially as much in following years. The product is wrapped in a certificate of deposit, but investors may lose out if HSBC exercises its call at five…
Crowd busting
The financial crisis revealed most dealers had near-identical exposures in exotic derivatives markets – whether in credit, interest rates, equity or inflation – leaving them unable to exit or hedge their positions when markets tanked. How have traders…
Fixed returns?
Banks have reported huge profits this year in fixed income, with swaps desks benefiting from flows off the back of sovereign and corporate debt issuance. Exotic desks, in contrast, have seen a substantial decline in investor interest. Peter Madigan…
The rates escape
A sudden inversion of the euro interest rate curve in June caught dealers and investors by surprise, causing losses for those that had put on curve steepener trades. Dealers rushed to hedge their short gamma positions, forcing the curve to invert further…
Vanilla's the flavour
Interest rates
Smiling at convexity
The price of a constant maturity swap (CMS)-based derivative is largely determined by the value of swaption volatilities at extreme strikes. Fabio Mercurio and Andrea Pallavicini propose a simple procedure for stripping consistently implied volatilities…
A difference of opinion
CMS spread options have been just about everywhere this year, with investors keen to take a view on the shape of the yield curve. But a wide variation in pricing has sparked speculation that some banks may not be modelling these products accurately. By…