Interest rate swaps
Pension funds eye 30-year Bunds as swap spread tightens
Long-dated bonds continue to cheapen versus euro swaps, and some think they might fall further
Benchmark switch leaves hedging headache for Philippine banks
If interest rates are cut before new benchmark docs are ready, banks face possible NII squeeze
Crédit Agricole hires head of USD swaps and UST trading
John O’Callaghan joins French bank in New York from Garda Capital
JSCC, FICC lead VM spike across CCPs
BoJ decision to allow 10-year yields above 1% contributed to JSCC spikes
BlackRock’s interest rate swaps notional climbs 20%
Counterparty Radar: US retail funds continued to add to their positions in Q4
Dealers bullish on upcoming offshore CGB futures relaunch
Better contracts and deeper foreign interest in China bonds set to spur uptake, but launch date unclear
Georgios Skoufis on RFRs, convexity adjustments and Sabr
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
Euribor to ditch ‘expert judgement’ in May
Plan to infer euro funding costs from term version of €STR wins industry backing
Traders dispute predictions of quick €STR transition
Poll points to five-year transition, but traders say replacing Euribor will be “a marathon”
EC’s McGuinness: active accounts rule ‘light’ on largest firms
Active clearing account requirement not as ambitious as she hoped, says commissioner
A change of TIIE: the knotty issue of Mexico’s benchmark switch
Outlier fallback methods and narrow window to build F-TIIE derivatives liquidity make for ambitious transition plan
In a world of uncleared margin rules, Isda Simm adapts and evolves
A look back at progress and challenges one year on from UMR and Phase 6 implementation
IM requirements for interest rate swaps up $30bn in December
Latest figures from CME, Eurex and LCH show a trend reversal from previous six months
Confusion reigns ahead of crucial Emir 3.0 vote
Leaked text introduces multiple calculations and thresholds for mandatory clearing and active accounts
Pension funds still fear diluted Emir active accounts rule
Clearing five trades in the EU every six months will hit clients that make large, infrequent trades
SABR convexity adjustment for an arithmetic average RFR swap
A model-independent convexity adjustment for interest rate swaps is introduced
Why Canada may need to revisit term Corra methodology
Break from US guidance benefits dealers but some futures inputs underpinning term rate are in short supply
Dealers braced for Taiwan swaps clearing mandate
Expected FSC directive on TWD interest rate swaps could spur growth in FX clearing, say bank execs
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
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
Undeterred, hedge funds bet on euro swap steepeners
Expected rate cuts and pension reforms are driving steepener flows, but large pension funds may not be finished hedging at the long end
Polish benchmark transition hits new snag
Compounded index suspended over data errors as Wibor extension reopens successor debate