Interest rate swaps
PFZW’s payout to pensioners jolts euro swap curve
Dutch retirement fund’s announcement of unexpectedly large indexation takes market by surprise
Three’s a crowd? Eurex and Ice battle CME for €STR trading
Chasing exchanges represent 75% of trading volume, 28% of open interest in first weeks of push
Swap dealers look internally to ease SOFR basis headaches
Traders are using their own banking units as a new outlet for reducing SOFR-versus-term SOFR risk
Buy-siders bemoan ‘dark arts’ of corporate bond CSA discounting
Litany of pricing variables fuel wide differences in how dealers calculate discount rates for collateral agreements
EU and UK to rework flawed identifiers for swaps transparency
European Commission and FCA both plan to consult on Mifir replacement for unpopular Isins
Industry fears backdoor thresholds in active accounts debate
Confidential papers suggest a compromise, but requirements seen as too ambiguous
US life insurers’ interest rate swaps usage surged in Q2
Counterparty Radar: John Hancock, Principal Financial expanded books by more than half
ECB wading into active account dispute on clearing – industry
Industry lobbyists decry secretive (allegedly ECB) non-paper that recommends high minimum thresholds
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
Pricing the transition of Scope 3 emissions
A framework to measure banks’ costs associated with carbon emissions is proposed
Pimco adds $103bn in fresh receive-fix interest rate swaps
Counterparty Radar: Bond powerhouse moves to lock in high rates in Q2 with one-year swap
BGC’s Eurex swap curve: basis killer?
Outright curve aims to stamp out LCH-plus-basis pricing for Eurex swaps – but price gap may persist, dealers say
Liquidity risk hits multi-year highs at both CME divisions
Changes to clearing member exposures and portfolio composition drive increases
Narrow path to compromise on EU’s post-Brexit clearing rules
Lawmakers unlikely to support industry demand to delete Emir active accounts proposal altogether
Why Isda ditched ‘off-cycle’ updates for Simm
Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations
Citi, JP Morgan slash $3tn of OTC notionals in Q2
Trimming of cleared portfolios bucks trend across top US banks
US regionals load up on cheap receive-fix term SOFR swaps
Major dealers are welcoming basis-risk-offset trades with “open arms”, say hedge advisers
Rising costs prompt US borrowers to embrace compounded SOFR
Sophisticated firms with term SOFR loans increasingly willing to run basis risk to cut hedging costs
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Iosco takes aim at pre-hedging with new probe
Global standard-setter intends to release results of review in third quarter of 2024
CSRs fight for survival after ‘damning’ Iosco verdict
Standard-setter accused of ignoring its own principles and failing to back up its conclusions
Man on a mission: Axel van Nederveen, swaps evangelist
EBRD treasurer spreads the good word about local currency derivatives markets
Swap Connect growth hampered by unwinding issues
Users’ inability to trade bespoke swaps to unwind positions deters foreign investors
Tradeweb treads fine line as API trend brings challenges
Buy-side rates traders look to dodge platform’s interface but remain barred from cross-venue price-shopping