Interest rate derivatives
BoE plans could force change to Libor-Sonia swap payments
Reformed Sonia proposals may see floating-leg settlements delayed
Interest rate models enhanced with local volatility
Lingling Cao and Pierre Henry-Labordère implement Dupire's local volatility in interest rate models
China opens up onshore swap market but hurdles remain
Foreign investors can now hedge CNY bonds but dealers expect limited uptake
Non-cleared market is changing – not dying
Non-cleared swaps market faces challenges, but it is adapting, writes Isda’s Scott O’Malia
Risk España Rankings 2016
Global banks advance in the scramble for supremacy
Asian private bank clients switch to rate structures
Stock market falls steer clients away from traditional equity focus
Strength turns to weakness for old OTC market
Non-cleared notional falls $36 trillion as costs and complexity grow
Dealers commit to provide liquidity for Libor alternative
Transition will be gradual with bilateral swaps adopting new rate before CCPs
BoE's Sonia fixation complicates secured rate transition
Bank's continuation of Sonia could jeopardise shift to secured rate as Libor replacement
LCH-JSCC basis rockets for cleared yen swaps
Cost of receive-fixed swaps at JSCC jumps fivefold in a week
Regulators have 'keen interest' in FRTB liquidity effect
Isda AGM: Japan central banker says regulators should analyse liquidity impact of capital rules
ABN Amro cuts rates swaps from €24bn covered bond programme
High cost of downgrade triggers forces Dutch bank to use alternative hedge
Swiss eye Saron for risk-free rate
Working group considers one rate to rule them all
Benchmark reform could hit cross-currency basis
Traders criticise fragmented development of new risk-free rates
Freddie Mac reviews $600bn hedge book as losses mount
Swap spread inversion contributed to derivatives losses of $2.7 billion in 2015
Swap auction frictions prompt search for new tactics
Standards may be needed to preserve benefits of credit-auction approach to big swaps
Non-parametric local volatility formula for interest rate swaptions
Gatarek, Jabłecki and Qu introduce a Dupire-like formula for swaptions
Slow start to US dollar rates clearing in Japan
Dealers cite limited demand to clear foreign currency interest rate swaps at JSCC
Barclays ousts head of rates trading
Yarian out after UK bank announces major shake-up of global investment banking operations
Eonia ‘almost meaningless’, says Eurex
Thin volumes in unsecured lending market should be a cause for concern, bourse operator argues
NAB pushed into clearing role by Clydesdale spin-off
Both parties felt it might be difficult for the UK bank to find a clearing provider alone
Hedge, reinsure or restructure: insurers mull risk-margin fixes
Advisers are pitching ideas to help companies deal with rate-sensitive risk margin
Cutting edge introduction: Jumpy wrong-way risk
Quants propose easy approximations for modelling wrong-way risk in CVA frameworks
Bank rankings 2015: Slaves to the rhythms
Interesting trends have emerged as regulatory change starts to bite