Interest rates
Lois: credit and liquidity
The spread between Libor and overnight index swap rates used to be negligible – until the crisis. Its behaviour since can be explained theoretically and empirically by a model driven by typical lenders’ liquidity and typical borrowers’ credit risk. By…
Insurers bolster inflation protection
Hedging assets sought to combat escalating risk of interest rate and inflation spike
Nordic insurers face up to low rates hedging challenge
The Nordic countries have introduced innovative measures to help insurers combat the low interest rates in the region. But these measures have brought their own problems for the insurance industry. Are they worth the trouble? Sarfraz Thind reports
National regulators ramp up efforts to combat low rate threat
With protracted low interest rates being arguably the biggest challenge for life insurers, national regulatory authorities are taking steps to manage the threat posed to insurers’ solvency levels and ability to meet guarantees. Louie Woodall reports
Volatility structurers turn to FX and rates as equity disappoints
Appetite for hedging equity exposure with structured products based on volatility shrank last year as confidence grew that markets will remain stable for the forseeable future. Now, bankers are looking beyond equity volatility to make returns
Non-equity volatility could be the future for structured products
Appetite for hedging equity exposure with structured products based on volatility shrank last year as confidence grew that markets will remain stable for the forseeable future. Now, bankers are looking beyond equity volatility to make returns. Vita…
European financial regulators challenge Eiopa on harmonised response to low interest rates
Regulatory solutions 'must account for local conditions', they say
Uncertainty stokes demand for rates 'tasting menu'
Structurers are working hard to offer solutions that take into account today’s unpredictable rates environment. But is anyone winning? David Wigan reports
VA providers seek regulatory boost to products in Asia
Dealers seeking variable annuity related hedging opportunities in Asia-Pacific are focusing on South Korea. While some players have sold hedges based on structured variants of CPPI, dealers hope that the prospect of new regulation in Asian markets could…
Chinese banks to emphasise fees over asset growth in the coming years – PwC
Basel III not the main challenge for China banks – instead interest liberalisation is their main focus
Structured notes to surpass CDs this year, finds survey
A survey from Incapital finds that industry participants expect structured notes to overtake certificates of deposit in 2012
Retrospective analysis: BNP Paribas dispersion strategy banks on volatile interest rates
This five-year income product from BNP Paribas was linked to eight money market rates. While each rate is currently lower than its strike level, the dispersion strategy was designed to deliver high coupons during periods of high volatility
The outlook for 2013: Regulation and rates rule
As another year ends, leading structured products professionals offer their predictions for the coming 12 months in our annual outlook. Not surprisingly, regulation and low interest rates are key concerns, but opinions differ about which asset classes…
Negative rates: Dealers struggle to price 0% floors
Central banks are holding down interest rates in an attempt to spur growth, and some parts of the fixed-income markets have entered the weird terrain of negative rates. This is sparking a modelling arms race among dealers, as they seek to build or…
Into Africa: Building a sub-Saharan OTC market
Nigeria opened up a local over-the-counter derivatives market last year – a big step for the sub-Saharan region. Dealers and hedgers are now hoping for growth across the region, but some big gaps need to be filled. By Michael Watt
Conspiracy theory: Lawyers gear up for high-stakes Libor case
Libor manipulation fines and civil lawsuits could cost banks anywhere from $1 billion to tens – or even hundreds – of billions, according to early estimates. But plaintiffs have a high legal bar to clear. Peter Madigan reports
How to mend the Libor process
Barclays’ settlement of Libor-rigging claims has sparked a full-scale financial scandal and exposed the conflicts inherent in the rate-setting process. There is a better way to organise it, says David Rowe
Risk 25: How Basel III is turning borders into barriers
Increasing prices on cross-currency swaps as a result of Basel III’s credit value adjustment charge are making it harder for companies to issue bonds overseas – this is just one example of the fragmentation of global capital markets