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Long-end euro swap pricing anomaly remains largely untapped
Deviation in swap curve attracts limited interest because of regulatory and pension reform barriers
Eurex scrambles to avert Treasury collateral ban on US default
Current policy prevents CCP from selectively excluding eligible collateral
US life insurer index options market hits $1trn mark
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increase
Regional banks face soaring term SOFR spreads
Bid/offers hit 10bp as dealers price counterparty risk into non-cleared Libor transition trades
DC rejects attempt to trigger Credit Suisse CDSs
Committee dismisses claims Swiss bank’s AT1s were not subordinated to the CDS reference entity
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Libor
Easing of trading curbs is no quick fix for term SOFR swaps
ARRC’s new guidelines will do little to improve liquidity, but may keep a lid on spiralling basis
Fed’s Bowman confirms interdealer term SOFR ban
Isda AGM: Further softening ruled out after April reprieve lifts curbs on term SOFR basis swaps
ARRC relaxes limits on trading term SOFR derivatives
Updated usage guidelines allow hedge funds and fixed rate issuers to hedge with forward rate
Strict term SOFR trading rules ‘permanent’, says Fed’s Bowman
Official says restrictions on use of term SOFR swaps “should not be expected to change”
Counterparty Radar
Matchmaking and benchmarking for OTC derivatives
Counterparty Radar is based on position data from around 20,000 US mutual funds and ETFs, rolled up to the manager level – it shows the OTC derivatives they have on their books, and who they traded them with, providing unique insights into an important market segment. More info
US life insurer index options market hits $1trn mark
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increase
Electronic trading
Swap Connect set to launch within weeks
After final rules were published last week, sources suggest CNY swap scheme could go live by May 15
Why NDF execution algos might still hit the spot
Products have yet to live up to initial hype, but their long-term potential for investors remains significant
Tradeweb lodges MAT application for SOFR and Sonia swaps
If accepted by the CFTC, trades referencing the benchmarks must be traded on-Sef from June 1
Refinitiv’s FXall launches automated forward fixing tool
New service offers asset managers automatic competitive pricing for a benchmark trade’s forward points
CVA desks avoided re-hedging as Credit Suisse teetered
Blowout in Swiss bank's credit risk caused CDS index to widen by more than 50%. Most banks held their nerve and kept existing hedges for counterparty risk, betting the index would retrace
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