Interest rate derivatives
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
Basel’s cherry-picking toughens IRRBB shock scenarios
European banks want higher outlier thresholds to offset higher confidence level in new standard
Philippines readies new swaps benchmark
Philippine peso rates market has been without an interest rate benchmark since June 2023
Westpac fined over interest rate swap pre-hedging
Court finds against Australian bank for “unconscionable” behaviour, amid calls for a broader guidance around the practice
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
Polish benchmark transition hits new snag
Compounded index suspended over data errors as Wibor extension reopens successor debate
LCH-JSCC basis turns negative on BoJ policy shift
Changes in hedge fund positioning at LCH seen as driver of inversion on 20-year swaps
Term SOFR derivatives creep into US fund holdings
Global Atlantic shows sizeable swaps position against the new benchmark as other managers ease into trading
Rustad re-emerges at Taula Capital
Former JP Morgan clearing head to help prepare for Q2 fund launch
Banxico waiver prompts rethink on benchmark transition plans
Dealers weigh basis risk against longer-dated swap hedges as CME consults on new conversion plan
MTS shuts euro swap venue
Would-be challenger to Tradeweb and Bloomberg is said to have closed less than ten months after launch
Euro RFR group shuts down amid ongoing benchmark uncertainty
Working group calls time on transition despite split opinion on Euribor’s long-term future
Three’s a crowd? Eurex and Ice battle CME for €STR trading
Chasing exchanges represent 75% of trading volume, 28% of open interest in first weeks of push
Bloomberg calls time on BSBY
After damning Iosco verdict, no commercial future seen for credit-sensitive rate
Buy side frets over cost of compulsory repo clearing
As US regulators prepare to mandate clearing, cost of compliance remains a mystery to many
Industry fears backdoor thresholds in active accounts debate
Confidential papers suggest a compromise, but requirements seen as too ambiguous
ECB wading into active account dispute on clearing – industry
Industry lobbyists decry secretive (allegedly ECB) non-paper that recommends high minimum thresholds
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
Emmi consults on axing ‘expert judgement’ for Euribor
Level 2.3 inputs extrapolated from term version of €STR will replace internal bank estimates
BGC’s Eurex swap curve: basis killer?
Outright curve aims to stamp out LCH-plus-basis pricing for Eurex swaps – but price gap may persist, dealers say
Why Isda ditched ‘off-cycle’ updates for Simm
Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations
Bloomberg consults on BSBY cessation
Credit-sensitive Libor replacement faces 12-month run-off after damning Iosco verdict
US regionals load up on cheap receive-fix term SOFR swaps
Major dealers are welcoming basis-risk-offset trades with “open arms”, say hedge advisers
Rising costs prompt US borrowers to embrace compounded SOFR
Sophisticated firms with term SOFR loans increasingly willing to run basis risk to cut hedging costs