Libor
In-house system of the year: Advanced Repo Curves, Barclays Capital
Risk awards 2011
Deutsches Risk Rankings 2010: Deutsche Bank top again
Confusion, then clarity
Regulation to reshape bank funding
Contrasting regulation for buyers and issuers of bank paper is adding to stress in funding markets.
EBF expansion of Euribor set to increase euro benchmarks gap
Changes are planned to a key euro rates benchmark - and it could have a number of knock-on effects.
Dealing with funding on uncollateralised swaps
Many banks are now using their own cost of funding as a discount rate when pricing non-collateralised swaps trades. How are banks dealing with the difference in funding rates when quoting derivatives prices, and could this influence a client’s choice of…
Funding valuation adjustments sponsored forum: A clear and present future
It is now generally accepted that banks should use a different pricing methodology depending on whether a derivatives trade is collateralised or non-collateralised. Specifically, dealers are now using overnight indexed swaps to discount the present value…
LCH.Clearnet considers revaluing $212 trillion swap portfolio
LCH.Clearnet could start using overnight indexed swap (OIS) rate curves rather than Libor to value its roughly $212 trillion swap portfolio, in response to changing market practice.
The price is wrong
As the basis between Libor and overnight index swap rates ballooned during the credit crisis, banks were forced to reassess methods for pricing collateralised and uncollateralised derivatives trades. The result is a move towards a new market standard in…
Gap trade interest could salvage dealer risk recycling channel
Renewed interest in gap risk trades might resurrect the defunct trading channel previously used by structured products issuers as a means to recycle unwanted gap risk, say dealers.
Joining the SABR and Libor models together
Fabio Mercurio and Massimo Morini propose a Libor market model consistent with SABR dynamics and develop approximations that allow for the use of the SABR formula with modified inputs. They verify that the approximations are acceptably precise, imply…
Joining the SABR and Libor models together
Fabio Mercurio and Massimo Morini propose a Libor market model consistent with SABR dynamics and develop approximations that allow for the use of the SABR formula with modified inputs. They verify that the approximations are acceptably precise, imply…
Libor forecast to lose status as key benchmark
Libor's days as a key benchmark for a variety of derivatives and as a measure of interbank lending rates may be numbered, a leading interest rates strategist has suggested.
Ted spread returns to pre-Lehman levels
The New Year has seen the Ted spread, a perceived level of counterparty risk, reach its lowest level since Lehman Brothers filed for Chapter 11 bankruptcy on September 15 last year. Elsewhere, interbank lending rates continued to fall.
Interbank lending rates continue to fall
Despite continued market unrest, healthier interbank lending rates over the past week indicate financial institutions are increasingly confident in lending to one another, while the perceived level of counterparty risk, as measured by the Ted spread, has…
Interbank confidence falls in the US, rises in Europe
The cost of dollar lending in the interbank market rose 17bp overnight, but the cost of euro and sterling borrowing was down marginally today.
Overnight euro Libor unaffected by news of €200 billion EU support
Overnight euro Libor remained unchanged from yesterday at 2.9%, despite the announcement a €200 billion stimulus package to shore up the struggling economies of European Union (EU) member states.
Interbank markets stabilise despite 'unprecedented' volatility
Volatility in the US equity market is at near-record levels, but the interbank market remained stable today.
Dollar Libor shoots up overnight
Overnight dollar lending rates rose today following the news that US banking giant Citi will receive additional government assistance.
Libor untouched by market turbulence
Interbank confidence has shown no signs of falling today even as global equity markets have plummeted.
Interbank confidence continues to rise
The perceived level of counterparty risk in the market continued to fall today, shown by a drop in the Ted spread and Libor.
Dollar Libor falls further
Interbank lending confidence rose today, marked by a 0.17 percentage point fall in three-month dollar Libor.
G-20 proposals fail to lift interbank confidence
The proposals of world leaders to stabilise financial markets had little significant impact on the interbank market, with the Ted spread and Libor figures remaining at similar levels to before the weekend.
Dollar Libor and Ted climb again
Dollar Libor and the Ted spread, which tracks the difference between three-month dollar Libor and Treasury bills, were up today as confidence in the US interbank lending market dipped again.
Dollar Libor up after Tarp priorities change
Dollar Libor was up today following US Treasury secretary Hank Paulson's admission yesterday that the Troubled Asset Relief Programme (Tarp) will not be used to buy illiquid mortgage-backed securities.