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LCH to clear BSBY swaps from November 29
Addition of much-maligned benchmark follows methodology enhancements and jump in SOFR trading
Loan markets call for clarity on scope of US Libor ban
Regulators must address “grey areas” in uncommitted facilities, urge participants
Single-name CDS trading bounces back
Volumes are up as Covid-driven support fuels opportunity for traders and investors
Latest
Quotes
Bespoke ESG indexes are more difficult to hedge because there is no market in volatility or dividends for those indices
Trading source at one major dealer
People started getting out [of steepeners] and then realised the exit door got smaller because many had similar positions
Thomas Pluta, global head of linear rates trading at JP Morgan
For corporate credit investors, it makes sense to switch some of your bond exposures into CDS
Sean Boland, head of corporate credit at Cheyne Capital
Editor's Choice
Losing their hedge: why so many UK energy suppliers went bust
Hedging strategies were powerless to protect firms from runaway energy price rises
Big Figure
Bond exodus
Liquidity in Treasuries saw a sharp deterioration on February 25, with bid/offer spreads across the whole curve tripling. Belly flies such as 2/5/10s cheapened over 17bp, seven times greater than in a typical session. This had a knock-on effect on off-the-run Treasuries. The head of rates at a US buy-side firm says one popularly traded deep off-the-run 30-year bond that regularly trades two ticks wide blew out to 12-13 ticks wide on February 25.
Read the full articleRegulation
UMR efficiency: optimising systems and processes for IM compliance
UMR are among the biggest collateral management issues faced by investors in over-the-counter (OTC) derivatives. At a specially convened session sponsored by IHS Markit at Risk.net’s Buy-Side Risk Global event, panellists discussed the latest phases of…
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A defence against the next convexity crunch
Hedge funds and the rebound in collateral velocity
Our Take
Blame to spare in UK energy supplier debacle
OTC derivatives clearing: no turning back