Interest rate markets
SwapClear may assist OIS development
London-based clearing house may consider helping to build OIS markets in minor currencies, as it continues to move its interest rate swap portfolio to OIS discounting
New standard CSA could be rolled out in Q2 2012
An implementation plan for the new standard CSA is set to be reviewed by the Isda board in September, with a first-phase roll-out expected as early as the second quarter of 2012
SOR headache for Singapore banks as rates enter negative territory; MAS defends stance
Profits at banks in Singapore issuing mortgages and loans based on SOR may be severely dented as the rate turned negative for the first time last week and is predicted to remain this way in the medium term
The CCP race is on down-under
Australia’s financial regulators are leaning towards mandatory clearing for the local interest rate derivatives market – and may conclude that any central counterparty that serves the market has to be based locally. Two firms are vying to be the dominant…
Libor manipulation lawsuits hit banks
At least 12 lawsuits alleging manipulation of Libor have been filed since April, and six different authorities – including the US Department of Justice – are investigating. But how would manipulation work in practice, and is there any evidence of it so…
Hearing on Libor class action venue due
US dollar Libor banks could find out details of a class action lawsuit against them as early as August
Libor fix?
At least 12 lawsuits alleging manipulation of Libor have been filed since April, and six different authorities – including the US Department of Justice – are investigating. But how would manipulation work in practice, and is there any evidence of it so…
General short-rate analytics
Alexandre Antonov and Michael Spector present an analytical approximation of zero-coupon bonds and swaption prices for general short-rate models. The approximation is based on regular and singular expansions with respect to low volatility and contains a…
StanChart bests the rest for coporates derivatives in Asia
Corporates operating in the Asia-Pacific region have faced dramatic increases in many domestic currencies versus the US dollar, and large disparities between domestic and developed world interest rates during the past 12 months. Against this backdrop…
Half of interest rate swaps now being cleared, says Isda
$601 trillion notional OTC figure reduced to $0.9 trillion gross value after netting, collateral
Eurostat continues to deny knowledge of Greece-Goldman swaps
Statistics body insists it only found out about the controversial cross-currency swaps between Greece and Goldman Sachs in 2010
Bank of Korea wrong-foots market with rate hold; questions raised on anti-inflation stance and bank NPLs
The Bank of Korea held interest rates yesterday in a surprise move which caught fixed-income traders who had factored in a 25-basis point rise by surprise. The move questions Korea’s efforts to tackle inflation and raises concerns that the central bank…
Structured hybrid products prove popular in Korea
Complex fixed-income structures and hybrid products are finding an increasing significance among regional investors, with demand coming from private individuals, macro asset managers and sovereign wealth funds. The Asian market is estimated at $50…
BNP Paribas takes €108 million hit on swaps after switch to OIS discounting
French bank becomes the latest to divulge a revenue impact from a change to overnight indexed swap discounting
General short-rate analytics
Alexandre Antonov and Michael Spector present an analytical approximation of zero-coupon bonds and swaption prices for general short-rate models. The approximation is based on regular and singular expansions with respect to low volatility and contains a…
Multi-currency CSA chaos behind push to standardised CSA
A major split has emerged between dealers over how to price derivatives backed by multi-currency CSAs. Some banks are looking to arbitrage disparities in valuations as a result, causing back-loading of trades to central counterparties to slow to a…
Yen interbank funding market calm as government bond yields retrace
The reduced scale of hedge fund carry trade activities compared with previous crises such as the collapse of Lehman Brothers in 2008 has reined in potential increases in the yen libor rate and short-end JGBs.
Derivatives exchange volumes leap 26%
Derivatives exchanges report a spike in trade volume on the back of growth in Asia-Pacific and Latin America, and strength in the commodities sector.
Multi-currency CSA chaos behind push to standardised CSA
A major split has emerged between dealers over how to price derivatives backed by multi-currency CSAs. Some banks are looking to arbitrage disparities in valuations as a result, causing back-loading of trades to central counterparties to slow to a…
Nasdaq OMX to launch Nordic swap CCP
Stockholm-based service already has Swedish debt office on board. Launch planned for second half of 2011
China plans onshore renminbi cross-currency swap
Chinese corporates will now have access to onshore and offshore hedging markets
Sponsored statement: Société Générale
Société Générale has built an impressive network in central and eastern Europe. It is now present in 18 countries – Albania, Belarus, Bulgaria, Croatia, the Czech Republic, Georgia, Greece, Macedonia, Moldova, Montenegro, Poland, Romania, Serbia,…
The CMS triangle arbitrage
A dislocation between options on constant maturity swap rates and spreads in 2009 led to a static arbitrage opportunity. Here, Paul McCloud shows how this can be detected, and how a copula-based model strategy can exploit it