Swaps
Container swap derivative clearing to boost market
LCH Clearnet's launch of a new over-the-counter (OTC) clearing service for container freight swap agreements is set to inject liquidity into the emerging market
Funding valuation – a clear and present future
In this roundtable, three leading swaps dealers discuss the changes in derivatives pricing – and in particular, the use of OIS as a discount rate for collateralised derivatives trades.
Protection on long-term deflation hits highest levels since 2008
Hedge funds seeking protection against deflation and dealer hedging of residual short floor positions are cited as the reasons for a rise in prices on euro zero-coupon inflation options.
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…
CFTC commissioner questions Senate ban on support for swaps
CFTC commissioner says Lincoln's proposal to ban federal support for swaps might not fly
Inverted swap spreads change insurer’s and pension fund’s hedging approach
Inverted swap spreads have defied earlier predictions that they were a short-term aberration to still be a feature 18 months after their first appearance. Is this set to continue and, if so, does it pose an opportunity for pension schemes and insurers?…
Collateral replacement
At the height of the financial crisis, manufacturers were quick to mitigate mounting counterparty risk concerns by deploying products issued by collateralised special purpose vehicles. But now, as the yield junkies return and retail appetite for…
Gazprom and EDF announce transatlantic gas swap
Gazprom Marketing & Trading and EDF Trading have announced details of an agreement to swap natural gas between the US and European markets.
Fixed returns?
Banks have reported huge profits this year in fixed income, with swaps desks benefiting from flows off the back of sovereign and corporate debt issuance. Exotic desks, in contrast, have seen a substantial decline in investor interest. Peter Madigan…
Convexity adjustments in inflation-linked derivatives
Dorje Brody, John Crosby and Hongyun Li value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices of zero-coupon inflation swaps with delayed…
Convexity adjustments in inflation-linked derivatives
Dorje Brody, John Crosby and Hongyun Li value several types of inflation-linked derivatives using a multi-factor version of the Hughston (1998) and Jarrow & Yildirim (2003) model. Expressions for the prices of zero-coupon inflation swaps with delayed…
Windy City power
CME Group's Chicago-based chief executive, Craig Donohue, talks to Mark Pengelly
Smiling at convexity
The price of a constant maturity swap (CMS)-based derivative is largely determined by the value of swaption volatilities at extreme strikes. Fabio Mercurio and Andrea Pallavicini propose a simple procedure for stripping consistently implied volatilities…
Swapstream offers electronic butterfly spreads
Swapstream, the London-based electronic trading platform for interest rate swaps established in 2003, has launched the trading of implied butterfly spreads on its platform.
Barclays adds cross-currency swaps to Barx
Barclays Capital has added cross-currency basis swaps to its Barx service provided via the Bloomberg electronic trading platform.
Belize loses $3m on cross-currency swap with Citigroup
The government of Belize has revealed that a dollar/yen interest rate swap left it on the wrong side of changes in the strength US dollar - and more than $3 million out of pocket.
Replication of flexi-swaps
Ingmar Evers and Farshid Jamshidian describe a relatively new product known as a flexi-swap and discuss its application in securitisation. A flexi-swap gives a counterparty an option to amortise the interest rate swap at an accelerated pace. They show…
JP Morgan backs TradeWeb launch of multi-dealer swaps platform
Thomson TradeWeb will launch a multi-dealer interest rate swaps trading platform in Europe at the beginning of 2005, and has received the support of JP Morgan Chase - the bank that dominated Risk ’s inter-dealer swaps rankings in September