Interest rate derivatives
Dealers warm to SOFR swaptions but buy side lags
Rate accounted for nearly half of new notional last week, but operational issues slow end-user uptake
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
OTC derivatives amount rose 5% in H1
While notional amounts were up from end-2020, gross market values fell 20% across all instruments tracked by the BIS
US swaptions slowly ditch Libor as ‘SOFR First’ bites
Risk USA: Around half of interdealer trades adopt successor rate on day one of initiative
LCH to clear swaps linked to embattled BSBY rate
Risk USA: SOFR surge eases concerns over Bloomberg’s credit-sensitive Libor alternative
US funds pile into LatAm interest rate swaps
Counterparty Radar: Managers still enamoured of non-G10 pairs in Q2, with BRL volumes now up 104% year-to-date
Expansion of ‘SOFR First’ to Eurodollars faces resistance
Non-banks may prove immune to regulatory arm-twisting in fourth wave of transition for listed markets
Dealers fear operational ‘cliff edge’ when Libor disappears
Over-reliance on fallbacks could lead to failures at year-end
Japan dealers hail ‘Tona First’ success
Tona overtakes Libor benchmark in yen swaps, but Tibor surge creates new basis risks
Eonia trading shuts down as CCPs make €STR switch
Dealers and venues step back from Eonia swaps after contracts become unclearable
Defiant ECB urges ‘further work’ on clearing relocation
Policymakers moot changes to Emir to tackle systemic risks of third-country CCPs
Barclays looks to woo CCPs with CDM prototype
Plan to save billions in post-trade costs relies on the creation of central data utilities
Regulatory attacks deal BSBY swaps a crippling blow
Libor successor “dead in the water” but CME sticks with cleared swap plan
Japan’s Libor-linked structured products face basis menace
Lack of readiness for compounded rates could sweep repacks onto synthetic Libor, creating swaps mismatch
EC shelves report on relocation of euro clearing
Consultation revealed a deep reluctance among banks to shift clearing to EU CCPs
State Street launches tri-party custody for IM clients
Third-party provider begins shifting phase five clients to full-service collateral model
Banks warn it’s too early for an OTC swaps consolidated tape
Market participants say Isin difficulties need to be resolved in order to create a usable tape
Phase five margin queues spur calls for custody revamp
Custodians urged to update “antiquated technology” ahead of three-fold jump in phase six initial margin onboarding
Synthetic Libor gets cautious approval as swaps fix
‘Tough legacy’ solution could mop up $2.7trn-equivalent of non-cleared sterling and yen derivatives
BSBY swap fallbacks too flimsy for BMR – FCA
Pressure piles on SOFR alternative as US, UK regulators axe their role in Isda replacement waterfall
Interest rate ETD volumes up 40% from 2020 nadir
Shorter-dated contracts push total open interest higher
SEC’s Gensler questions BSBY’s Iosco compliance
Bloomberg’s credit-sensitive Libor alternative draws more criticism as Iosco vows tougher scrutiny
Iosco steps up scrutiny of credit-sensitive rates
Standard setter calls for rates to prove compliance through stress scenarios to retain hallmark