Interest rates
JSCC had a top margin breach of ¥114m in Q3
Three backtesting exceptions disclosed for 12-month period to end-September
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2020: US bank leads the way on SOFR, and gets creative to facilitate US insurer hedging
Buy-side risk manager of the year: Vanguard
Risk Awards 2020: Fund giant gave more risk work to machines this year - from duration hedging to op risk
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
FVA – Time to go asymmetric?
Despite being introduced over six years ago, there is still no market consensus on how to calculate funding valuation adjustments. One point of contention is whether to use the same funding curve for borrowing and lending (symmetric funding) or to use…
Europe eyes the pitfalls of Japanification
Does the cultural and demographic experience of Japan apply to a heterogeneous grouping of nations that have no common monetary policy or a unified social outlook?
Search for alpha in a volatile world
Alpha generation can be an elusive goal, particularly when trading volatility. Three different approaches to trading volatility were discussed by a panel looking at the role of systematic and carry strategies in finding profit in a high-volatility world
Fed Funds Futures in a Post-ZIRP World
As the FOMC returns to more active management of its key target rate, Federal Funds futures have experienced dramatic growth.
Libor transition and implementation – Covering all bases
Sponsored Q&A
How collateral scarcity reshaped the US yield curve
QE and demand for high-quality liquid assets have suppressed short-term rates, argue IMF economists
Brexit flips LCH-Eurex basis
LCH-Eurex basis has inverted on buy-side flows, hitting –1.3bp at July low
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end
First-half trading revenues at US G-Sibs increase by a third year-on-year
Income from interest rate exposures more than tripled on H1 2018, while equity revenues increased 17%
Euribor futures spread spike strangles prop traders
Safe-haven butterfly trades savaged by shock divergence in mid-term contracts
CME-LCH basis collapses amid rates downturn
Brexit and recent LCH initial margin raise could also be factors
IBA mulls RFQ data and Sonia spinoff to bolster swap rate
Benchmark administrator consults on plan to reduce non-publication and prepare for transition to RFRs
Ford reaps derivatives gains following interest rates dip
Swap assets of automaker’s financial services unit hit $1.2 billion
Sovereign spreads and Target2 anomalies
Widening risk imbalances between eurozone member states threaten monetary union, says Italian regulator
Hong Kong seeks European equivalence for Hibor and Honia
For the territory’s crucial renminbi fixings, however, no path to approval has yet been decided
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Risk and finance – Better together
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
