Interest rate derivatives
LCH plans Q4 launch for FCM-style clearing
UK clearing house will be first to offer Europe’s new agent model as Eurex faces tax hold-up
Emir rule delay leaves Simm paperwork gathering dust
Mid-year refresh triggers Emir 3.0 authorisation process despite unfinished regulatory standards
CFTC set to vote on JSCC client clearing access
US investor demand for JSCC clearing ramps up amid rising yen interest rate volatility
DC hedges return amid tariff pause
Following a sharp drop in public deal flow in April, dealers say interest has come roaring back
Yen rates losses from tariff volatility top $1 billion
Pay fixed, curve flattener and vol steepener positions were hit hard as yields swung wildly
Getting a handle on model parameters
Mean reversion in rate parameters opens the door to dimensionality reduction
Podcast: adventures in autoencoding
Trio of senior quants explain how autoencoders can reduce dimensionality in yield curves
AmEx derivatives book grows on interest rate swap surge
Receive-fixed swaps dominate hedging portfolio as clearing rate spikes
Hedge funds flock to US swap spreads on SLR easing talk
‘Trade of the year’ sees investors position for shrinking negative basis as Treasuries predicted to outperform swaps
Eurex squashes butterflies with Stir incentives
Rebate caps on low-risk strategies flatten mid-curve bulge in €STR contracts
Hong Kong dealers make Honia transition push
Standard Chartered ramps up swaps quoting for Hibor alternative; calls for industry transition group
US block size changes reveal trillions in swaps trading
Fears of information leakage force some large buy-side users to adjust execution strategy
‘Street Fighter’ Sef RTX grows in interdealer swaps market
Focus on functionality and fees helped volumes on start-up venue from Cawley and Jonns jump fivefold last year
The path to operational resilience begins with reliability and risk management
The challenges Apac financial services firms face enhancing operational resilience and leveraging data and hybrid cloud
Complex EU active account reporting could drive trades out of UK
Draft Emir rules might not force large volumes to move to EU, but will make compliance difficult
Record share of OTC trades eschews interdealer, CCP channels
More than one-fourth of global notional involves a single dealer and is not cleared, BIS data shows
OTC derivatives hit $730 trillion peak in H1 2024
Interest rate and FX derivatives drive notional spike
Profit and pain as macro turmoil engulfs Brazil
FX options trades pay off, while sharp jump in rates caught traders by surprise
US senators press CFTC on Japan swap clearing
Boozman and Hagerty urge action on yen swap clearing access to JSCC in letter to US regulator
CME launches late term €STR bid
Exchange group becomes third provider with rate built on €135 billion of daily transactions
Exchanges vie for EGB futures market
Rivals eye Eurex’s dominance in EGB futures, but dealers are split on the likelihood of challengers succeeding
Canada benchmark shaken by T+1 hedge fund influx
Shortened settlement cycle swept hedge fund trades into Corra, making the rate more volatile
Basis swaps surge amid US repo concerns
Fed funds-versus-SOFR swap volumes nearly triple as declining Fed reserves impact funding rates
Clearing bottlenecks blamed for muted volumes at FMX
Regulatory hurdles and market conditions have also hampered CME rival since its September launch