Interest rate derivatives
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
Bank balancing: optimising margin and capital in a higher-rate environment
This Risk.net paper, which features leading practitioner insights, assesses the challenges banks are facing in the new higher rate environment and the strategies and tools they are using to optimise margin and capital on their derivatives portfolios.
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
The importance of data-driven decision-making in Apac
Embracing data-driven decision-making enabled by digital technologies is crucial for the success of lending institutions in Apac
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
Apac banks put trust in pre‑trade
Amid tougher trading conditions, Apac banks are making greater use of pre‑trade analytics to inform their strategies and reduce risk. But how successful are these tools?
Navigating IFRS 9: strategies for effective implementation and moving beyond
There has been a constant change within the landscape of financial reporting, and IFRS 9 has been proven to be a critical component.
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
Using emerging technologies to improve the risk management function
This white paper discusses why capital markets firms need access to the most innovative technologies, real-time analytics, and timely and accurate data for better and faster decision-making in the risk function.
Why Isda ditched ‘off-cycle’ updates for Simm
Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations
Adapting to economic uncertainty: internal audit’s journey
In this report, internal auditors in different sectors have shared their experiences and strategies, providing valuable insights for others facing similar challenges
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