Interest rates
A mystery: why did the NY Fed use a survey to get SOFR?
Almost a week later, still no word on why SOFR was set using a market survey instead of submissions
US banks demand high rates for overnight loans
Most banks demand 25bp-plus spread over IOER to lend unsecured
Fixing floaters: how the 10y10y rate can save FRNs
Experts from Crédit Agricole’s rates team explain how use of a forward euro fixing can bring positive carry and improve coupons
Remembering the range accrual bloodbath
Flatter US yield curve spurs demand for a product with a painful history
Risky notes replace easy money for exotics desks
Dealers insist ‘it’s different’ as flat US curve revives bonds that sank the Street in 2008
Capturing alpha in Asia’s ETF market – Trends to watch in 2019
As the inclusion of China A-shares into major indexes could potentially lead to record inflows into China, 2019 is set to be an exceptional year for the Asian exchange-traded funds (ETFs) market. Meanwhile, investors in the region are increasingly eyeing…
BNY Mellon’s markets head jumps to Royal Bank of Canada
Michelle Neal will join the Canadian firm in June as head of US Ficc
Are lenders using risk-based pricing in the Italian consumer loan market? The effect of the 2008 crisis
This paper analyzes whether in Italy the price of consumer loans is based on borrower-specific credit risk.
First SOFR term rate coming in 2020
Staff at the New York Fed are working on a series of backward-looking averages
Libor may linger as regulators ‘change tune’
CFTC and FCA suggest benchmark could be kept alive to avoid cash market chaos
Swaps data: SOFR volume and margin insights
Data shows recent leap in SOFR trades – and hints at growth in synthetic swaps
Eurex’s new Swiss rate futures in naming pickle
German exchange used ‘wrong month’ to name Saron futures
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
Degree of influence: are machines starting to learn finance?
This year's analysis recognises a turning point in machine learning applications
Profit emergence under IFRS 17
Major changes are expected under the new IFRS 17 regime – insurance companies must make efforts to comprehend and communicate the full impact of changes to profit emergence under different scenarios, and its sensitivity to different methodology choices,…
When bonds struggle, so does alt premia – research
Ties between alternative risk premia and fixed income closer than appreciated
Libor fallbacks set to split cash and swaps
Basis could appear when benchmark dies, with swaps, bonds and loans embracing different fallbacks
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
Transitioning beyond Libor: Some key considerations
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, explores the transition to Libor alternative rates and the impact on curve construction practices
The short-term Danish interbank market before, during and after the financial crisis
This paper studies the microstructure of the short-term uncollateralized Danish interbank market before, during and after the financial crisis, and into an era of negative interest rates.
Pensions and insurers give new impetus to Asia’s ETFs
Cost-conscious institutional investors are embracing exchange-traded funds (ETFs) to lower transaction fees and achieve higher returns. Hong Kong Exchanges and Clearing (HKEX) explores the theme of yield‑chasing among insurers in Asia’s expanding ETF…
Axa's solvency ratio soars on US IPO, debt issue
Solvency II SCR ratio up to 233%