Interest rates
Insurance firms look to time their volatility hedging
Market volatility is at its lowest level since the financial crisis – but should insurers be preparing for the inevitable return to a more volatile environment? Blake Evans-Pritchard reports
Low yields and low volatility a growing bubble
Selling volatility to generate yield is behind an artificial calm bolstered by a lack of ‘Fed fear'
Credit goes to forward rate spreads
Commonly used as an indicator of a bank’s health, the spread between reference rates like Libor and the overnight indexed swap rate used to be close to zero until the onset of the crisis. After many years of high spreads, we know that it is now here to…
Pension funds weary of interest rates high-wire act
Rising rates would help reduce pension fund deficits, but would also hurt the sector’s hedges. That could be managed by trimming hedge ratios, but funds are scared of acting too soon. By Cecile Sourbes
In-depth introduction: Interest rate risk
Banks, insurers and others all share a problem: anticipating rising rates
Dispersion predicted in fixed income returns
Fixed income absolute return products have proliferated recently but how will these funds stand up to the test of a falling yield environment?
Structured product sales approach pre-crisis highs in Spain, say bankers
Lower rates and the end of the bank 'deposit wars' in Spain have been positive for structurers, but creating attractive products with full capital protection remains a challenge
Liquidity concerns over moves to reform Indian benchmark rates
India becomes latest Asian jurisdiction to move to a market benchmark
Fed action need not stymie credit strategies
Presenting an outlook for 2014, Putri Pascualy of Paamco says there are more legs to alternative credit strategies
L&G blames low interest rates as it quits UK retail structured products
Legal & General exits the market following a reported decline in sales, putting an end to its distribution of Barclays-backed plans
Differential rates, differential prices
Collateral agreements and funding costs affect derivatives prices through discounting and adjustments. But if the borrowing and lending rates aren’t equal, the situation becomes even more complicated. Fabio Mercurio shows that buy and sell prices diverge…
Fear the repo: funds face up to rate-contingent liquidity risks
As interest rates rise, big fixed-rate receivers such as pension funds will all slide out-of-the-money at the same time, potentially triggering huge margin calls. Some are already trying to soften the blow, rather than relying on a repo market that could…
German insurers respond to ZZR reserve squeeze
Rising interest rates are melting German life insurers’ hidden reserves and piling pressure on firms to rethink strategies to finance the ZZR, a ballooning regulatory reserve they have to hold against products offering high guarantees. Hugo Coelho reports
Interest rates house of the year – BNP Paribas
BNP Paribas
Falling rates slash coupons and extend tenors
The steep decline in interest rates has profoundly altered the business of Dayna Kleinman, senior product manager for alternative investments at Robert W Baird
Interest Rate Derivatives House of the Year – BNP Paribas
Asia Risk awards 2013 winner: BNP Paribas – Interest Rate Derivatives House of the Year
Eurozone collapse remains top threat for insurance industry – Swiss Re chief economist
Policy mistakes could still kill economic recovery, Insurance Risk Europe conference hears
Rates volatility buoys hopes for currency forwards desks
Libor rigging has been seen as a rates market problem, but it also tainted the foreign exchange market – forcing banks to pick and choose even more carefully as they add extra staff for a surge in currency forwards activity. By Michael Watt
The great unwind: Buy-side fears impact of market-making constraints
Some buy-side firms are already calling it the great unwind – the migration out of the huge bond portfolios buy-side firms have built up in recent years, as rates eventually rise. But with dealers less able to play the role of liquidity provider, it…
Libor scandal makes it tougher to hire forex traders
Banks are staffing up for a livelier foreign exchange forwards market, but taint of Libor rigging is limiting pool of new traders
Absolute Volatility Arbitrage Plus: Amundi Asset Management
Interview with Eric Hermitte, co-head of volatility and convertible bonds at Amundi AM, about the Absolute Volatility Arbitrage Plus fund, winner of best volatility hedge fund in the 2013 awards
G7 Fixed Income Fund: Aviva Investors
Winner of best non-directional hedge fund over 10 years
SABR goes normal
The benchmark stochastic alpha beta rho model for interest rate derivatives was designed for an environment of 5% base rates, but its traditional implementation method based on a lognormal volatility expansion breaks down in today’s low-rate and high…