Interest rate derivatives
FSB says fallbacks should kick in if Libor no longer accurate
Isda plans to consult on what to do if a benchmark is no longer representative of underlying markets
LCH SwapClear swells client list by 10%
Number of client accounts hits 21,220
Dealers consider ditching FRAs prior to Libor’s death
Forward rate agreements won’t work with backward-looking rates; banks explore single period swaps instead
Jumbo SOFR swaps herald new world of repo betting
Swaps traders told to “learn repo market dynamics” as market catches glimpse of new trading strategy
Dealers seek clarity on buy-side IM relief
Hundreds of buy-side firms may still need to calculate margin and get models approved
Once bitten, twice shy: UK traders wary of inflation reform
Proposals to fix RPI methodology flaws are back on the agenda, but traders have been caught out before
Differing European approaches may hamper Ibor transition
While sterling shifts to Sonia, efforts to save Euribor create euro multi-rate uncertainty
Dealers suffer in euro rates desert
Analysis shows collapse in swap and bond bid/offer spreads, as traders say business is “unsustainable”
FRAs won't work with standard Libor fallback, experts say
Payments on $84 trillion market rely on forward rates but industry’s chosen fallback is backward looking
Euro swap bid/offers edge to decade lows
Mifid II and extreme competition raise profitability concerns for euro rates market-makers
Drop margin on swaps leaving Libor, Basel says
Joined by Iosco, Basel says moves to Libor successors should not be saddled with margin requirements
Shallow liquidity threatens Saron momentum
Swaps on Swiss Libor successor gain traction, but lack of cash products poses liquidity hurdle
Libor may linger as regulators ‘change tune’
CFTC and FCA suggest benchmark could be kept alive to avoid cash market chaos
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
Apple derivatives use surges
Hedging derivatives notionals hit $99 billion, up from $6 billion in 2008
FCA: ‘We can be Libor fallback trigger’
Amid fears of hedging mayhem, Schooling Latter says FCA verdict could be trigger for smoother rates switch
Lloyds’ head of traded products exits
Christophe Coutte left the UK bank late last year
EU banks bracing for Ibors' demise – EBA
Nine out of 10 firms working on how benchmark reform will affect existing contracts
SwapClear compressed notional leaps 27% in 2018
$774 trillion of notionals compressed, up from $609 trillion in 2017
Euro term rate likely to be OIS-based, says RFR group chair
Committed quotes “the most viable methodology”, but some insist rate creates new risks
The centrally cleared interest rate derivatives market: how are clients changing the risk perspective?
This paper analyzes counterparty relationships within both direct (house) and client clearing in the interest rate derivatives market in the European Union.
Interest rate ETD volumes tick up in Q3
Longer-dated contracts push total open interest higher
BNPP US linear rates head to join NatWest Markets
Eric Duclos moves from French bank to run linear rates trading
Greece slashes rates exposure with €35 billion swap programme
Sovereign debt agency entices 18 banks into hedging programme, locking in historic low rates on bailout loans