Interest rate derivatives
Pimco triples book as IR swaptions market nearly doubles
Counterparty Radar: Goldman Sachs nets almost all of bond giant’s Q4 growth
Rate-linked notes trigger ‘pain trade’ for dealers
Negative 2y30y US swap spread sees hedging costs for range accruals soar, fuelling more flattening
EU considers delay to OTC derivatives tape
Member states raise prospect of delaying introduction of consolidated feed
A second term SOFR: help or hindrance?
Ice launches CME rival as fallback for loans but market ambivalence may put endorsement out of reach
HSBC, StanChart face capital hit on cleared renminbi trades
Lack of UK recognition for Shanghai Clearing House could prompt banks to reduce exposures
Regional banks lead charge into term SOFR
Forward rate is favoured by smaller lenders and is increasingly used in caps and floors
Term SOFR restrictions spark valuation debate
Ban on interdealer trading leaves dealers divided over accounting treatment of in-demand contracts
This is going to hurt: EU-prescribed OTC tape is no cure-all
Market participants sharply divided on utility of a consolidated tape to record OTC derivatives trades
US rate caps under strain amid volatility surge
Market uncertainty hits liquidity in options on swaps, dealers say
Pimco, Franklin Templeton affiliates top for Russia exposure
Counterparty Radar: Funds had biggest long exposures to Russia across credit, rates, FX at end of Q4
For corporates, Sora seems to be the hardest word
Singapore is facing challenges adapting to new overnight lending rate, but progress is being made
Russia sanctions throw derivatives market into disarray
Lawyers say western banks face illegality terminations; industry groups plan deliverable ruble workaround
Ukraine invasion clouds rates consensus trades
“Old school” US macro trades are back in fashion, but geopolitical risks add uncertainty
GM Financial’s derivatives fall 72% in value in 2021
A steeper forward interest rate curve paired with an appreciating dollar erased most of the gains booked by the carmaker’s lending arm in 2020
Fillip for credit-sensitive rates as Axi, Critr advance
IHS Markit makes benchmarks available for live products; Invesco appointed as Axi administrator
Risk solutions house of the year: Santander Corporate & Investment Banking
Risk Awards 2022: Multi-jurisdiction transactions saw the bank solve three-way currency conundrum and take on litigation risk
Interest rate derivatives house of the year: Bank of America
Risk Awards 2022: Bank ducks US vol problems that plagued peers, while continuing European expansion
Banks rely on clients to police US Libor ban
Dealers say it’s “impossible” to verify end-user compliance with narrow Libor exceptions trade by trade
ING’s interest rate VAR spiked in Q4
Potential-loss indicator for rates trading peaked at €20 million
CCPs to review conversion blueprint ahead of SOFR switch
Rising rates vol expected to push US transition to the wire, but process likely to follow previous runs
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets