Interest rate derivatives
Singapore looks to establish term RFR by 2020
Swaps linked to overnight rate will help create term structure, says industry committee member
Korean regulator likely to probe issuers of rate-linked products
Mis-selling enquiry may extend to structuring banks as global rates plunge threatens retail notes
Equity derivatives surge at US G-Sibs
Gross notionals have increased 8.9% year-on-year
Swaps between UK banks and foreign firms climb in Q2
Total value of derivatives assets and liabilities with overseas lenders hits £2.09 trillion
Dealers rush to redeem high-yielding structured notes
An estimated $60 billion of structured notes are at risk of being called before year-end
Euribor futures spread spike strangles prop traders
Safe-haven butterfly trades savaged by shock divergence in mid-term contracts
Sefs stall, but more liquidity may be coming
The hoped-for competition among Sefs never was. But banks and prop traders might be facing off on swaps
Asia awaits term SOFR solution for local benchmarks
Singapore, Thailand and the Philippines look at ways to replace Libor in benchmark calculations
IBA mulls RFQ data and Sonia spinoff to bolster swap rate
Benchmark administrator consults on plan to reduce non-publication and prepare for transition to RFRs
CurveGlobal and the curious case of the lost open interest
One-third short sterling plunge in open interest on CurveGlobal may signal more capital-sensitive times
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets
LCH plans October 2020 SOFR discounting switch
Cash and basis swaps will reverse value transfer on US dollar derivatives
Ford reaps derivatives gains following interest rates dip
Swap assets of automaker’s financial services unit hit $1.2 billion
BoE is going to curb Libor collateral. But how much?
Harshest of three ideas to shift market to Sonia would largely ban Libor collateral from its market ops
JP Morgan warming to derivatives-based term RFR rates
Risk Live: Unlike Libor, the market has a say in them. (Though they may not be real term rates, executive muses)
Dealers issue rallying cry for cross-currency benchmark reform
Risk Live: Global banks need to drive new standards for multi-rate swaps, say leading industry execs
BoE drops Libor for hedging UK forex reserves
Risk Live: Central bank adopts Sonia in Treasury swap programme, consults on restrictions for Libor collateral
Lingering Euribor may hit €STR futures prospects
Bourses question viability of euro RFR contracts as Euribor reform efforts remove transition incentives
UBS unleashes Orca for rates clients
Machine learning algo trawls liquidity pools to slash US Treasury trading costs
CFTC frees amended legacy swaps from margin net
US no-action relief for compression-triggered replacement trades spurs hope for EU alignment
Libor leaders: Prudential takes SOFR for a test drive
Test trades have allowed US insurer to start getting used to a life without Libor
A mystery: why did the NY Fed use a survey to get SOFR?
Almost a week later, still no word on why SOFR was set using a market survey instead of submissions
FCA: Sonia derivatives liquid enough to create term rates
Andrew Bailey says a forward-looking rate can work, but its use should be limited