Interest rate swaps
Dexia faces fraud charges over ‘hidden costs’ in swaps deal
Italian fraud trial could spell trouble for other banks providing municipal swaps contracts
Banks calm on Eurex-LCH basis volatility
Past basis blowouts prepared banks for movements, say traders
Monthly swaps data review: Libor dominance challenged
There are more sources of over-the-counter derivatives data available today than at any point in the market’s history
The covered interest parity conundrum
Darrell Duffie explains why it’s difficult to arbitrage direct and swap-implied funding rates
Monthly swaps data review: volumes rise, CCP switches spike
In the first of a new series of articles, Amir Khwaja of Clarus FT looks at the most recent batch of swaps data
Swiss rate reform set to trigger swap value change
Tois discounting rate set to be replaced in 2018 by Saron, which is 20bp lower
XVA at the exercise boundary
Andrew Green and Chris Kenyon show how the decision to exercise an option is influenced by XVAs
Rates flow market-maker of the year: Citadel Securities
Risk Awards 2017: New entrant showed swaps staying power as rivals fought back in 2016
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2017: New macro group proves worth in Brexit and US election drama
Derivatives house of the year: Citi
Risk Awards 2017: Simple vision has taken rates business a long way
LSE-backed Libor replacement faces data wrangle
Proposed secured rate based on data from NEX, which has a competing offering
Mixed views on Dodd-Frank rollback
No need to dump central clearing and electronic trading mandates, market participants say
OTC market resisting swap futures threat
Swap futures yet to break out, but backers see margin, accounting and Citadel as tailwinds
R3’s Rutter: swaps will trade on blockchain in five years
Risk USA: first distributed ledger products could hit the market in 2017
China rates swap prices diverge on spotty CVA practices
Most local banks not passing on capital charge to clients, say traders
LCH targets non-cleared market with radical new platform
Bilateral trades would be valued and margined using LCH swap curves
Huge Brexit margin calls stoke intra-day funding fears
Calls on June 24 may have topped $40 billion; critics urge regulators to review episode
LCH to revise margining after Brexit backlash
Excess intra-day margin will offset other collateral calls from November 3
EU trading obligation threatens US equivalence
Rigid criteria and poor data could make EU regime too narrow to achieve US recognition
LCH under scrutiny after outsized Brexit margin calls
Intra-day calls criticised by banks; FIA working group pushing for change
Asset managers lead the charge for voluntary clearing
Voluntary clearing volumes jump 80% as non-cleared margin rules take effect
Lawmakers rush to double Euribor panel membership
Benchmark designated “critical” to stem departures and enable transaction-based methodology
LSE forced to rework Curve deal over merger risks
Banks demand LSE use its own cash while awaiting verdict on Deutsche Börse tie-up
March margin deadline may force clients onto new CSAs
Dealers say they lack capacity to renegotiate thousands of existing collateral agreements