Interest rate derivatives
Three key drivers of middle-office outsourcing
This white paper examines the growing trend of middle-office outsourcing among asset and fund managers, driven by operational efficiency and cost control.
Rates markets rattled as tech outage hits broker pricing feeds
Dealers widened spreads and pulled live curves after TP Icap’s pricing feeds went offline
CME launches term SOFR curve as clearing talks ebb
Give-and-get pricing tool addresses pressing transparency need in $2.5 trillion swaps market
Adopt hybrid cloud to resolve the false dilemma between resilience and modernisation in banking
This study explores the challenges banks in Asia-Pacific face in enhancing operational resilience, and how they plan to leverage data and hybrid cloud in building operational resilience
Corporates look to collars amid rates uncertainty
Selling the floor can cover majority of cap’s premium
Five battle for euro swaps clearing
Nasdaq aims to be regional hub, while BME seeks broader slice of ‘active accounts’ pie
Banks look to offload ‘orphan’ hedge risk
Bespoke CDSs shift private credit borrowers’ derivatives default exposures back to the buy side
Euribor fills panel gaps with Finland and Greece
OP Corporate Bank and NBG take contributors to 21 as administrator switches off “expert judgement”
Non-deliverable CNY swaps defy doubters
Swap Connect’s launch has helped rather than hindered the instrument, say dealers
Isda pushes to ‘decouple’ Simm calibration from model changes
Emir 3.0 prompts effort to separate risk-weight revisions from methodology updates
Who’s winning the €STR futures race? Depends how you measure
CME, Eurex and Ice all claim to be leading, but experts say it’s too early to pick a winner
Buy side looks to fill talent gap in yen rates trading
Isda AGM: Japan rate rises spark demand for traders; dealers say inexperience could trigger volatility
Industry pushes to extend review for Emir active accounts rule
Fears that compressed timeframe leaves less than a year to test if controversial policy is working
Georgios Skoufis on RFRs, convexity adjustments and Sabr
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
Singapore Exchange to return to short-term rates market
SGX president Syn hails new Sora and Tona futures as the “missing chunk of the rates complex”
Driving a modern operational resilience program
Strengthen your operational resilience processes, meet pertinent regulatory requirements in this space and enhance business continuity practices with the help of high-performance GRC technology
Euribor to ditch ‘expert judgement’ in May
Plan to infer euro funding costs from term version of €STR wins industry backing
Traders dispute predictions of quick €STR transition
Poll points to five-year transition, but traders say replacing Euribor will be “a marathon”
Nasdaq’s bid for euro swap clearing faces questions
Dealers unconvinced by Swedish CCP’s attempt to capture relocated euro swap clearing volumes
A change of TIIE: the knotty issue of Mexico’s benchmark switch
Outlier fallback methods and narrow window to build F-TIIE derivatives liquidity make for ambitious transition plan
Recovering Greeks from sensitivities
This quantitative paper presents a model-independent method for calculating delta, vega and rho based on a comparison of the sensitivities of any derivative payoff with those of its underlying observables
In a world of uncleared margin rules, Isda Simm adapts and evolves
A look back at progress and challenges one year on from UMR and Phase 6 implementation
IM requirements for interest rate swaps up $30bn in December
Latest figures from CME, Eurex and LCH show a trend reversal from previous six months
Confusion reigns ahead of crucial Emir 3.0 vote
Leaked text introduces multiple calculations and thresholds for mandatory clearing and active accounts