Japanese yen
Dealers applaud proposal to halt yen Libor swaps after Q3
BoJ working group timetable viewed as likely to boost liquidity in nascent Tonar market
Japan weighs benchmark options as sun sets on Libor
Dominance of risk-free rates in local swaps markets post-Libor is no foregone conclusion, dealers say
Markets search for FX factor as rates fall flat
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
Andreas König’s crisis playbook meets Covid-19
Interview: Trading from home may be odd, but Amundi’s FX head was ready for other stresses
Japanese dealers join calls for Libor extension
Local firms struggle to adapt to remote working as coronavirus throws benchmark transition plans off course
Dollar funding squeeze eases after March madness
Fed action helps restore equilibrium, leaving fears of quarter-end crunch unfounded
FX vol revived by Covid-19 – but for how long?
Traders split on whether virus impact, or central bank responses, will prove most powerful
FX options volumes surged last week amid market panic
USD/JPY options traded volumes highest since at least the start of 2018
FX options see record volumes as yen goes off-script
Coronavirus outbreak and recession fears trigger frenzied trading in USD/JPY options
Who killed FX volatility?
Beyond central bank policy, traders see a range of hidden structural factors at work
Morgan Stanley FX loss leaves ill-feeling, questions in wake
Options traders saw odd quotes by US bank months before losses were publicised
Compounded rate out of favour, finds Japan survey
Users prefer forward-looking term rate to replace yen Libor, but dealers bemoan “lack of understanding”
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Non-banks’ role in cross-border funding grows
Non-bank financial institutions account for about one-fifth of cross-border dollar and sterling funding
Evaluating the impact of Libor fallback
The planned discontinuation of Libor and other interbank offer rates (Ibors) in 2022 will affect a large number of existing financial contracts based on these benchmarks. According to some estimates, Libor-based contracts – such as interest rate swaps,…
Podcast: Gregory and Chung on wrong-way risk modelling
Quants discuss a better way to model wrong-way risk
Q&A: Japan RFR group head on term rates and Tonar liquidity
MUFG’s Matsuura discusses term benchmark options, cross-currency swaps and Tibor’s future
Fallback decision will lift yen OIS, says Japan RFR group chair
Move should kick-start dormant Tonar OIS market – key requirement to building a term rate
Swaps data: volumes up amid volatility
Data shows strong growth in cleared OTC derivative volumes in second half of 2018, says Amir Khwaja
Japan’s term RFR toil may mean bigger Tibor role
Derivatives-based methods for constructing curve challenging amid negative rate environment
Giancarlo speech drives LCH-JSCC basis fall
CFTC chief backs US swap clearing on foreign CCPs, sparking 46% move in basis
Interest rate derivatives values fall to pre-crisis low
The value of interest rate derivatives plummeted more than 16% to $7.6 trillion in the second half of 2017
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product