Interest rate derivatives
Rate rises, structural reforms transforming swaps market – BIS
Interest rate derivatives notionals up 13% in first half of 2018, but values collapse 12%
HSBC hires Credit Suisse European rates head
Olivier Herregods joins UK bank to run Emea flow rates
Key South African rate ‘bears no relation’ to market
Jibar based on product that rarely traded during two-year period, says central bank official
Sef reforms could distort new, sounder benchmark rates
Tradition’s Fitzpatrick warns that more ways of trading swaps could dent progress made on fixings
Emir compels clearing surge
Share of cleared interest rate derivatives climbs to 58%
EU derivatives market adds €55 trillion in 2017
Interest rate products account for 69% of gross notionals
EU lawmakers open to delaying ban on critical benchmarks
MEPs propose two-year reprieve for Eonia and Euribor if contractual continuity is at risk
IBA launches term risk-free rates
Forward-looking one-, three- and six-month Sonia rates to be based on Ice futures data
Swaps data: Sonia growth spreads down the curve
New figures show boom in sterling OIS swaps is not limited to short-dated trades
Interest rate ETD open interest drops in Q2
Open interest in options and futures contracts combined dropped 12%
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
Banks to ask EC for delay of benchmarks rule
New ECB rate may appear only months before rules bar use of Eonia and Euribor
Giancarlo speech drives LCH-JSCC basis fall
CFTC chief backs US swap clearing on foreign CCPs, sparking 46% move in basis
BAML may rejoin China swaps market after US policy shift
Clearing exemption removes swaps deterrent as bank seeks to hedge growing China exposure
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