Negative rates
As interest rates surge, bankers fret over last year’s models
IRRBB modellers trying to predict client behaviour have little relevant data to fall back on
Pricing American options under negative rates
This paper derives a new integral equation for American options under negative rates and shows how to solve this new equation through modifications to the modern and efficient algorithm of Andersen and Lake.
How sovereigns learned to live with two-way CSAs
Some say new collateral terms ensured access to markets during last year’s meltdown
Cherry-picking fears as banks pull negative rates commitments
As UK mulls negative rates, banks desert Isda protocol and traders warn of gaming the system
Will the exit price be right in new Isda docs?
Industry body is updating unloved procedure for valuing terminated swaps
Clearing banks feel pinch as rates turn negative
Negative returns on dollar deposits at Eurex, Ice and LCH spur talk of business model change
Money funds turn to Fed facility amid record inflows
MMFs are accepting 0% returns and waiving management fees to avoid ‘breaking the buck’
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Court rules for Deutsche in negative interest case
Decision turns on Isda’s 2010 best practice guide, which said interest was only payable when rates were positive
In Netherlands vs Deutsche Bank, bets are on Deutsche
A decision is looming on Dutch appeal after being denied payment on interest rates gone negative
Japan’s term RFR toil may mean bigger Tibor role
Derivatives-based methods for constructing curve challenging amid negative rate environment
Quant of the year: Alexei Kondratyev
Risk Awards 2019: A glimpse of the future? Quant uses ML to model term structure and crunch margin costs
How machine learning could aid interest rate modelling
Standard Chartered quant proposes machine-learning technique to better capture rate dynamics
JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
Fixed-value euro money funds set to disappear
EC’s dim view of share destruction leaves stable euro fund values impossible with negative yields
The price is still wrong: banks tackle bond CSA discounting
Diverging Eonia and European repo rates spur banks to look at valuations of swaps with bond collateral
Mixing SABR models for negative rates
Antonov, Konikov and Spector use an exact formula for the normal free boundary SABR to construct an arbitrage-free mixed SABR model
Sovereign risk manager of the year: Treasury Directorate of Slovenia
Risk Awards 2017: ‘Visionary’ exercise required debt buybacks, new issuance and swap unwinds on the same day
Negative Euribor erodes securitisation profits
Implicit floors in notes leave originators facing cost of negative rates on hundreds of tranches
SGX to charge negative interest to clearing members
Excess euro and yen cash deposits expected to generate 20–40bp charge
Negative rates force decline in yen life products
Japan’s life firms are increasingly focused on foreign-currency products
Hidden floor: dealers tackle negative rate CSA headaches
Banks pushing clients to remove costly interest rate floors in collateral agreements
Technology vendor of the year – non-bank: Numerix
Staying ahead of client demands in the annuities space reaps dividends
End-users face extra unwind costs from CSA rate floors
Dealers demanding compensation for extra funding costs