Interest rates
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…
The Fed doesn’t like narrow banks, but asset managers do
Narrow banks would funnel cash to the Fed to get its rate – money managers are intrigued
UBS unleashes Orca for rates clients
Machine learning algo trawls liquidity pools to slash US Treasury trading costs
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