Interest rate derivatives
EU’s IM model validation rules may put Simm in jeopardy
Draft RTS creates validation hurdles and cross-border conflicts, industry warns
UK bank derivatives exposures rose by £38bn in Q3
FX contracts drove the overall increase
‘SOFR First’ for Eurodollars downgraded
US dollar Libor transition initiative for listed derivatives comes up short
Libor battles aren’t over, but the war is won
Transition will shift into new phase next year, leaving systemic threats behind
Interest rate ETD volumes drop in Q3
Shorter-dated contracts led the way, falling 9% quarter on quarter
How derivatives management is changing post‑Covid‑19
Risk.net explores five derivatives trading themes discussed by experts in a recent webinar sponsored by Numerix
Dealers warm to SOFR swaptions but buy side lags
Rate accounted for nearly half of new notional last week, but operational issues slow end-user uptake
LCH to clear BSBY swaps from November 29
Addition of much-maligned benchmark follows methodology enhancements and jump in SOFR trading
Loan markets call for clarity on scope of US Libor ban
Regulators must address “grey areas” in uncommitted facilities, urge participants
OTC derivatives amount rose 5% in H1
While notional amounts were up from end-2020, gross market values fell 20% across all instruments tracked by the BIS
US swaptions slowly ditch Libor as ‘SOFR First’ bites
Risk USA: Around half of interdealer trades adopt successor rate on day one of initiative
LCH to clear swaps linked to embattled BSBY rate
Risk USA: SOFR surge eases concerns over Bloomberg’s credit-sensitive Libor alternative
US funds pile into LatAm interest rate swaps
Counterparty Radar: Managers still enamoured of non-G10 pairs in Q2, with BRL volumes now up 104% year-to-date
Expansion of ‘SOFR First’ to Eurodollars faces resistance
Non-banks may prove immune to regulatory arm-twisting in fourth wave of transition for listed markets
Dealers fear operational ‘cliff edge’ when Libor disappears
Over-reliance on fallbacks could lead to failures at year-end
Japan dealers hail ‘Tona First’ success
Tona overtakes Libor benchmark in yen swaps, but Tibor surge creates new basis risks
Eonia trading shuts down as CCPs make €STR switch
Dealers and venues step back from Eonia swaps after contracts become unclearable
Defiant ECB urges ‘further work’ on clearing relocation
Policy-makers moot changes to Emir to tackle systemic risks of third-country CCPs
Barclays looks to woo CCPs with CDM prototype
Plan to save billions in post-trade costs relies on the creation of central data utilities
Regulatory attacks deal BSBY swaps a crippling blow
Libor successor “dead in the water” but CME sticks with cleared swap plan
Japan’s Libor-linked structured products face basis menace
Lack of readiness for compounded rates could sweep repacks onto synthetic Libor, creating swaps mismatch
EC shelves report on relocation of euro clearing
Consultation revealed a deep reluctance among banks to shift clearing to EU CCPs
State Street launches tri-party custody for IM clients
Third-party provider begins shifting phase five clients to full-service collateral model
Banks warn it’s too early for an OTC swaps consolidated tape
Market participants say Isin difficulties need to be resolved in order to create a usable tape