Interest rate derivatives
Libor may linger as regulators ‘change tune’
CFTC and FCA suggest benchmark could be kept alive to avoid cash market chaos
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
Apple derivatives use surges
Hedging derivatives notionals hit $99 billion, up from $6 billion in 2008
FCA: ‘We can be Libor fallback trigger’
Amid fears of hedging mayhem, Schooling Latter says FCA verdict could be trigger for smoother rates switch
Lloyds’ head of traded products exits
Christophe Coutte left the UK bank late last year
EU banks bracing for Ibors' demise – EBA
Nine out of 10 firms working on how benchmark reform will affect existing contracts
SwapClear compressed notional leaps 27% in 2018
$774 trillion of notionals compressed, up from $609 trillion in 2017
Euro term rate likely to be OIS-based, says RFR group chair
Committed quotes “the most viable methodology”, but some insist rate creates new risks
The centrally cleared interest rate derivatives market: how are clients changing the risk perspective?
This paper analyzes counterparty relationships within both direct (house) and client clearing in the interest rate derivatives market in the European Union.
Interest rate ETD volumes tick up in Q3
Longer-dated contracts push total open interest higher
BNPP US linear rates head to join NatWest Markets
Eric Duclos moves from French bank to run linear rates trading
Greece slashes rates exposure with €35 billion swap programme
Sovereign debt agency entices 18 banks into hedging programme, locking in historic low rates on bailout loans
Interest rate derivatives house of the year: BNP Paribas
Risk Awards 2019: US commitment pays off with 20% growth, blizzard of big trades on curve and FRA/OIS
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…