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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
FRA-OIS demise leaves hole in bank treasury risk management
New risk-free rate in the US is backwards-looking - which is incompatible with forward rate agreements. As a result, bankers face losing a crucial weapon for hedging credit risk
Libor
Regional banks face soaring term SOFR spreads
Bid/offers hit 10bp as dealers price counterparty risk into non-cleared Libor transition trades
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
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
Fast LPs accuse rivals of maxing out last look response times
Firms with sub-10ms checks complain of losing volumes to slower rivals, prompting one to ditch ECNs
SG1 growth slower than expected, say LPs
Despite sluggish take-up of Singapore FX matching engines, some hope a new NDF venue will offer a boost
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
Quant Finance Master’s Guide 2023
Risk.net’s guide to the world’s leading quant master’s programmes
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