Interest rate derivatives
UK derivatives values grow on forex activity
Foreign exchange contact values leap £0.4 trillion in second quarter
Bermudan swaption model risk analysis: a local volatility approach
This paper seeks to contribute a simple and (almost) model-free way of assessing the economic value of the Bermudan exercise right derived from a “minimal” local volatility enhanced interest rate model.
Hedge funds turn to curve options for steepener trades
Previous bets on US interest rate curve flopped following unexpected flattening
Esma: Eonia can be used in CSAs after 2020
Swaps users can avoid repapering before BMR deadline but may face basis risks
Offshore Eonia? A weird idea for weird times
As pressure builds in the search for a new rate, some non-EU banks are looking at ways of keeping the existing one alive
LCH-Eurex basis falls 80% as insurers head to Frankfurt
Fixed rate available at Eurex has dropped from 1.35bp to 0.25bp in past two months
Fed’s Quarles critical of opaque Libor data
ARRC chair Sandra O’Connor also questions IBA transparency
First SOFR swaps trade as banks test new benchmark
First OTC trades include two basis swaps and an OIS trade, with JP Morgan thought to be a counterparty
US swaps users want CFTC rules lifted in Libor switch
Dodd-Frank should not catch contracts amended as part of move to new rates, letter argues
BAML shrugs off higher funding costs
Bank reports 38 basis point jump in long-term debt interest expense quarter to quarter
FCA could kill off Libor, says Bailey
Warning breaks new ground, provoking immediate responses at CFTC meeting
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
BAML replaces head of global rates
Gupta and Stanley named co-heads as Roberts exits
European banks vague on settled-to-market switch
UBS reported a cut in gross derivatives assets and liabilities attributable to STM of Sfr11.4 billion in 2017
Libor transition raises basis risk fear
Shift to secured benchmark could cause dislocation between bank funding and lending rates
EIB shrugs off term RFR worries with Sonia bond plan
Issuer to use daily compounded, backward-looking rate with time lag for sterling benchmark
VM changes cut billions from US bank swaps values in 2017
Effects on potential future exposure (PFE) mixed
Questions remain on scope of Mifid extraterritoriality
Global firms confused about reach of trading obligation and best execution rules
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
Eonia death will hit valuations and OIS market – expert
Working group hears end of Euribor by 2020 would threaten financial stability
Some banks open to committing to Libor post-2021
At least two houses concerned about risks of transitioning to alternative rates
Regulator calls for term Sonia as transition talk ramps up
Schooling Latter throws scepticism on Libor reform efforts
Interest rate ETD open interest soars
Outstanding positions at end-March hit $105 trillion
Model risk in the transition to risk-free rates
Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo