Interest rate derivatives
Citi taps Barclays vet to head euro swaps trading
Masson bolsters US bank's rates unit at critical juncture for the market
SOFR swap basis could pose ‘systemic risk’
Trading curbs must be loosened to prevent tripling of unhedgeable basis risk, says senior banker
A child of inflation: BNPP’s new macro trading unit
Currency and rates traders join forces at French bank as it plans to bring FX algos to US Treasury bonds
Natixis fined for mismarking US rates and equities positions
Former rates trader overstated P&L by $25m, while equities traders smoothed profits after 2018 windfall
CME preps April Eurodollar conversion
US exchange selects April 14, 2023 to flip open interest in heavily traded Libor contracts to SOFR
Margin costs leap on Simm rejig and rates hikes
Acadia finds roughly one-third jump in exposure following Simm recalibration, with higher funding costs adding to burden
Barclays confronts ‘implausible’ macro risks
In wild markets, bank is reaping rewards of sticking with its trading businesses, says macro head Lublinsky
LCH cuts to the chase in SOR conversion plan
Proposal would skip interim stage in demise of Singapore’s outgoing rate
Esma warns new foreign clearing house rules could backfire
Löber says euro swaps trading may move away from CCPs that face toughest EU scrutiny
The ghost of Archegos returns to haunt Simm
UK regulator’s attack on Simm may have more to do with the failed family office than meets the eye
PRA’s pot shots threaten Simm’s global ubiquity
UK regulator’s push to improve model governance could tip non-cleared derivatives market into chaos
Phase six margin cohort may exceed estimates as vol bites
Acadia sees numbers around a third higher than initial count, with fewer set to rely on relief
BNP G10 rates sales head takes new developed markets role
Joe Squires’ move sees Neehal Shah, Ashley Parker and Xavier Gallant pick up new rates responsibilities
UK offers six-month margin reprieve for China netting sweep
Transition period falls short of Isda’s 18-month request, Hong Kong mulls similar relief
Canada term rate plan sparks ‘inverted pyramid’ debate
Some dealers push back on forward-looking Corra proposal amid low derivatives liquidity
‘Strong case’ for US synthetic Libor in bond markets
Temporary publication under SOFR-based methodology could mop up 40% of dollar bond issues
ARRC reconvenes task force to evaluate term SOFR curbs
Concerns over one-sided market for term SOFR swaps prompts review of ‘scope of use’ guidelines
Swaptions transition snags trigger term SOFR calls
Liquidity flips to RFR but laggards struggle with behavioural quirks for contracts referencing overnight rates
Thomas Pluta leaves JP Morgan
US bank’s global linear rates head departs after 27-year stint
Libor/SOFR basis like ‘free money’ for early movers – GS trader
Sharp narrowing of basis swaps below fallback spreads has failed to open transition floodgates
Calls grow to ease restrictions on term SOFR derivatives
Ban on interdealer trading is raising costs for end-users transitioning from Libor, banks say
Rates correlations break down amid volatility surge
Dealers say go-to hedges are now too risky as old relationships fail
JSCC swap surge triggers plea to rethink US client ban
With over two-thirds of yen RFR swaps volumes going to JSCC, calls grow for CFTC to ease clearing restrictions
BNY Mellon offers ‘seg-light’ custody model to aid IM prep
Pre-prepared docs would cut unnecessary account fees and reduce risk of trading halts