Yield curve
MetLife investment yields squeezed by rate cuts, repo turmoil
Investment spread at retirement and income solutions unit down to 1.02%
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end
Fed stress test AOCI wallop softens in 2019
Fourteen participants see projected capital drain due to unrealised losses drop 63% year-on-year
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
Yield curve fitting with artificial intelligence: a comparison of standard fitting methods with artificial intelligence algorithms
In this paper, the author expands standard yield curve fitting techniques to artificial intelligence methods.
Hedge funds turn to curve options for steepener trades
Previous bets on US interest rate curve flopped following unexpected flattening
Power to the people: US bourse bets on retail rush into swaps
Eris Exchange hopes retail access to its swap futures will usher in new era of swaps for all
The quickest way to lose the money you cannot afford to lose: reverse stress testing with maximum entropy
This paper extends a technique devised by Saroka and Rebonato to “optimally” deform a yield curve in order to deal with a common and practically relevant class of optimization problems subject to linear constraints.
Exchange innovation of the year: Eris Exchange
Risk Awards 2018: New swap futures pricing curve removes hurdle for real-money users
Sovereign risk manager of the year: Debt Management Office of Saudi Arabia
Risk Awards 2018: New DMO is building a benchmark curve that could spur local capital markets
Flylets and fixed-income portfolio risk management
Sponsored Q&A: Buy-Side Awards 2016 | Tudor Investment Corporation
Huge Brexit margin calls stoke intra-day funding fears
Calls on June 24 may have topped $40 billion; critics urge regulators to review episode
Dealers wake up to MVA impact of new funding rules
NSFR will force dealers to term-fund initial margin at a time when margin volumes are climbing
Dutch insurers tackle regulator on solvency impact of France downgrade
Drop in ECB AAA curve will also affect German insurers’ guarantees reserves
PrinceRidge sings the praises of structured products
PrinceRidge Group distributes structured products to a client base that includes leading broker-dealers across the US. Yakob Peterseil talks to managing director Joe Castelluccio about what he has learned in 35 years on Wall Street
What Libor reform will change – and what it won’t
What Libor reform will change – and what it won’t
Marketing campaign of the year
Marketing campaign of the year
Omnibus II needed to meet Solvency II deadline
German insurer R+V says EC was "lucky" Omnibus II was available to add transitional measures into the impending insurance capital regime
Yield evaluation using median spread curves: Jerry Tempelman column
Ahead of the curve
