Interest rate markets
CME in talks to clear term SOFR basis swaps
US clearing house has held discussions with some dealers about clearing term SOFR-SOFR packages
June mid-month auctions – Coupon and yield trends
As Treasury issuance amounts set new records, coupons at the front end of the curve have marched downward, while back-end coupons have lagged. Yield spreads across each popular measure show a consistent steepening of the curve through the first half of…
Forging a third way: Bringing efficiencies and standardisation to the non-cleared swaps market
A survey conducted by Risk in association with LCH SwapAgent highlighted concerns about declining liquidity in non-cleared interest rate derivatives, with market participants calling for greater opportunities for standardisation and optimisation
LCH set to clear 50-year Sonia swaps
Clearing house says it will clear long-dated swaps linked to the sterling overnight rate by end of 2017
ECB backed to fix floundering euro swaps reform
Swiss, UK and US progress leaves euro swaps market playing catch-up in rates reform
Banks calm on Eurex-LCH basis volatility
Past basis blowouts prepared banks for movements, say traders
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
Swiss rate reform set to trigger swap value change
Tois discounting rate set to be replaced in 2018 by Saron, which is 20bp lower
OTC market resisting swap futures threat
Swap futures yet to break out, but backers see margin, accounting and Citadel as tailwinds
Swap 4175: how a hedged loan became a €600m dispute
City of Linz v Bawag case underlines risks in municipal derivatives
BoE plans could force change to Libor-Sonia swap payments
Reformed Sonia proposals may see floating-leg settlements delayed
Flylets and invariant risk metrics
Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns based on a global structure in the form of principal components and a novel quasi-local representation for the residuals
Negative Euribor erodes securitisation profits
Implicit floors in notes leave originators facing cost of negative rates on hundreds of tranches
Interest rate models enhanced with local volatility
In this paper, Lingling Cao and Pierre Henry-Labordère complement generic interest rate models with local volatility. They derive an exact Dupire-like formula for the local volatility. An efficient calibration scheme is then achieved with the particle…
Opened interest: foreign firms eye China's rate swap market
The opening of the interbank bond market to foreign investors should be a boon for onshore interest rate derivatives markets. But participants say there are a number of hurdles to clear before it can take off
LCH-JSCC basis to boost XVA acceptance in Japan
Prices now "can't be explained without reference to XVAs", says Nomura credit head
Mortgage investors grapple with negative swap spreads
Collapse of US swap rate creates problems for valuation models
Nordic clearing members eliminate Skr288 billion IRS notional
Nasdaq Clearing’s first compression run to be continued twice a year
Indian rate options underlyings insufficient, say traders
Lack of long-term reference points could hold back proposed market
Dealer algos strike back in swaps market showdown
Auto-quoting starting to take root as incumbents try to keep pace with Citadel