Interest rate derivatives
Why Isda ditched ‘off-cycle’ updates for Simm
Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations
Bloomberg consults on BSBY cessation
Credit-sensitive Libor replacement faces 12-month run-off after damning Iosco verdict
US regionals load up on cheap receive-fix term SOFR swaps
Major dealers are welcoming basis-risk-offset trades with “open arms”, say hedge advisers
Rising costs prompt US borrowers to embrace compounded SOFR
Sophisticated firms with term SOFR loans increasingly willing to run basis risk to cut hedging costs
CSRs fight for survival after ‘damning’ Iosco verdict
Standard-setter accused of ignoring its own principles and failing to back up its conclusions
Global Atlantic’s swaptions book surges
Counterparty Radar: KKR-owned firm exploits lower volatility in Q1 as swaptions market for US life insurers grows 17%
Swap Connect growth hampered by unwinding issues
Users’ inability to trade bespoke swaps to unwind positions deters foreign investors
Invesco is first US mutual fund to trade €STR swaptions
Counterparty Radar: Trades were some of just a handful of €STR swaptions to hit the market this year
Tradeweb treads fine line as API trend brings challenges
Buy-side rates traders look to dodge platform’s interface but remain barred from cross-venue price-shopping
Canada considering interdealer trading in term Corra swaps
‘Where Canada’s market structure is unique, we will forge our own path,’ says benchmark body co-chair
Relief (and some regret) as EU scales back swaps transparency
Leaked document outlines plans to narrow scope of dysfunctional OTC disclosure regime
Deutsche Bank’s swaptions trading with US retail funds soars
Counterparty Radar: Space grows 6% in Q1 as Citi’s book of business also surges
Dealers tackle US Libor swaptions transition
Complexity of legacy book and CCP deadlines sees banks turn to new Capitalab service
Iosco deals hammer blow to BSBY, Ameribor
Non-compliance ruling does not equate to a ban, but may strangle use by regulated firms
Refinitiv beefs up term €STR with cleared LCH swaps
Use of OIS transaction prices reflects data-sufficiency worries and euro-market desire for T+1 publication
Same instrument, different market
Dealer Rankings 2023: For buy-side firms, the list of banks you can trade with depends on who you are
Euro Axi rate proposed as Euribor fallback
New study lays groundwork for euro version of across-the-curve credit spread index
Hedge funds boost new Tona futures market
Arbitrageurs said to be behind early trading as contracts tipped to prove useful for US buy-siders
Morgan Stanley, JP Morgan lead Risk’s first Dealer Rankings
Dealer Rankings 2023: Analysis of more than 1,000 cuts of Counterparty Radar data offers rare glimpse of sell-side pecking order
Banks mull structured notes as term SOFR basis hedge
ARRC signals opposition to passing term SOFR-SOFR basis risk to investors via structured payoffs
IR swaps market for US funds rebounds in Q1
Counterparty Radar: Notional traded by mutual funds, ETFs bounces back to early-2022 levels
EU active account rule may impose costly CCP basis
Buy-siders say end-users could be forced into volatile Eurex/LCH basis at the worst time under EU proposals
BNPP appoints new head of US and CAD interest rate swaps
Eric Duclos joins from Crédit Agricole
Simm’s first off-cycle rejig hits non-cleared rates
Recalibration lifts initial margin for some products by 37% after year-end volatility forces update