Interest rate derivatives
FASB to vote on hedge accounting for US Libor successor
Standards body likely to approve SOFR as eligible
Esma guidance on swaps transparency still leaves questions
Volatile instrument attributes removed from transparency determination, but further issues remain
The fraught search for a Libor fallback
Banks and buy side disagree over how to prepare for Libor’s death
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact
US courts restrict reach of Commodity Exchange Act
Recent cases make it harder to pursue instances of overseas misconduct
Europe’s Eonia dilemma
As Europe begins formal search for new risk-free rate for swaps, it is unclear whether Eonia will survive
EU-US swaps trading equivalence tipped for November
Hong Kong and Singapore unlikely to be deemed equivalent for start of Mifid II
EU trading obligation threatens packaged trades
Banks warn they will have to break up packages and face higher costs for hedging
Day of the Mifids: what happens on January 3?
Continued ambiguities in the rules could hit European market liquidity at the start of 2018
US hedge accounting changes could spur small bank swaps boom
Banks eye opportunities to claim hedge accounting treatment for fixed-rate portfolios and callable debt
Banks warn clients of possible unwinds as VM deadline nears
Clients on old CSAs told they face unwinds and trading bans unless repapering talks underway
Regulator seeks Libor-style deal to prop up Euribor
Future of €180 trillion Euribor swaps market unclear as banks yet to agree support
Regulators split on Mifid swaps transparency
Esma and FCA divided over when participants must determine whether derivatives are trading on-venue
Replacing Libor: US swaps market eyes long to-do list
New timeline focuses minds on product and contract gaps – but some end-users want to stay put
Tradeweb’s Mifid bilateral trading plans draw fire
New process will class privately executed trades as on-venue to satisfy trading obligation
Dislocation policy: LCH exodus risks CCP basis blow-out
Questions about post-Brexit status of UK CCP could spark mass migration – and severe volatility
FCA’s Libor plans a ‘reality check’ for loans, bonds, RMBS
Chair of US benchmark group says surprise announcement will push rate reform beyond swaps
E-trading boosts mid-tier banks in rates and credit
New technology helps Natixis and Mizuho compete with major dealers in swaps and bonds
Banks tap equities and FX staff for fixed-income fizz
BAML, HSBC, RBC, StanChart among banks transferring e-trading know-how
Goldman’s veteran rates head moves to risk role
Three co-heads named after Pantazopoulos ends nine-year run at the head of rates group
CVA, fraud and settlement risk
April 28–May 4, 2017
Mixing SABR models for negative rates
Antonov, Konikov and Spector use an exact formula for the normal free boundary SABR to construct an arbitrage-free mixed SABR model
Swiss rate reform in race against the clock
Time constraints and valuation headaches complicate swaps market transition from Tois to Saron
Clearing house of the year: LCH
Risk Awards 2017: CCP enjoys stellar year for volumes, and demonstrates willingness to adapt following Brexit stresses