Virus turmoil threatens swaps discounting switch
Clearing houses expect deadlines to be met, but swaps users are not so sure
Derivatives users are warning that the deadlines for shifting interest rate swaps to new discount rates may need to be pushed back amid the coronavirus disruption, throwing doubt on a key plank of the industry-wide push to wean markets off the Libor family of benchmarks.
Clearing houses are due to begin using new risk-free rates to discount the future cashflows of swap contracts and pay interest
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
FXSpotStream expands into US Treasuries trading
Bank-owned streaming venue targets mid-year launch, offering “all you can eat” subscription fees
Crisis-era CDO protection keeps on giving for Athene
Apollo-owned insurer still sees payments from sold CDS protection on a 2006 synthetic resecuritisation
The changing shape of variation margin collateral
Financial firms are open to using a wider variety of collateral when posting VM on uncleared derivatives, but concerns are slowing efforts to use more non-cash alternatives
Will lifer exodus kill Taiwan’s NDF market?
Traders split over whether insurers’ retreat from FX hedging is help or hindrance
How Australia’s inflation overhaul could lure global traders
Australia’s move to monthly inflation reporting set to revitalise local inflation-linked bond and swap markets
Calamos brings popular US autocall ETF to Europe
Dublin filing points to Q1 launch for Calamos Autocallable Income Ucits ETF
Repo clearing: expanding access, boosting resilience
Michel Semaan, head of RepoClear at LSEG, discusses evolving requirements in repo clearing
Aussie inflation traders call for linker buyback scheme
Firms fear liquidity bifurcation as market transitions to new indexation formula
