Interest rate swaps
Electronic bond trading stalled in volatile markets
Bid/offer spreads on bond platforms spiked in March and the buy side struggled to trade
Sonia term rate contenders tested by market mayhem
Regulator-proposed quote approach falters as dealers pull swap prices from screens
Short-dated sterling swap volumes surge
On April 22, traded volumes were four times the two-year average
Eurex seeks Hong Kong clearing licence
Bourse has Greater China in its sights after Japan and Singapore licences approved
Discounting delay risks swaptions mess – Eurex
Swaptions hurdles seen as yet another reason to keep June €STR switch date
Libor webinar playback: spotlight on derivatives
Panellists from Deutsche Bank, LCH, Numerix and Tradeweb on transition timelines, volatility and discounting
Virus turmoil threatens swaps discounting switch
Clearing houses expect deadlines to be met, but swaps users are not so sure
Corporates sprint to lock in low rates
Dealers are seeing increased demand for interest rate hedges despite higher execution costs
Swaps benchmark vanishes as traders flee firm price venues
Dollar Ice swap rate fails to publish in March rout; patchy Sonia Clob prices could delay term rates
Swaps liquidity slumps as Treasury stress spreads
Big buy-side participants report “worst day” for market depth in 10 years, as spreads widen and prices gap
Bonds and swaps struggled in virus volatility
Low liquidity and wider spreads amplified by remote working, traders claim
Swaps data: cleared volumes drop for all markets – except FX
Smaller CCPs make market share gains in a quarter of double-digit declines for rates and credit
Fed funds swaptions offer SOFR alternative
Investors dry-run systems using familiar overnight rate, as markets wait for SOFR liquidity to build
Dealers cast doubt on swaptions compensation plans
Redress scheme for victims of post-Libor valuation change may fail due to “cherry-picking” fears
FCA: sign up to fallback protocol or face ‘serious questions’
UK regulator urges derivatives users to accept Isda swap fallbacks to ensure compliance with benchmark law
Synthetic Libor faces legal obstacles
EU benchmark rules may thwart ‘tough legacy’ fix, reviving calls for blanket legislation
Margin exchange threshold relief: get out of jail free?
‘Game-changing’ IM exchange threshold relief may not be the phase five free pass it first appears
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
Isda plans February rerun of Libor pre-death trigger poll
Lack of consensus would add pre-cessation option to post-cessation protocol for bilateral swaps
Custody battle: competing tensions put IM prep in jeopardy
Conflicting custody interests and delayed docs call IM phase five readiness into question
Libor replacement jumble may hike hedging costs
Use of term rates and credit adjustments will create new basis risks that could be costly to hedge
LCH targets hardwired pre-cessation triggers
Proposal aims to align transfer pricing for cleared and bilateral markets in the event of split on ‘zombie Libor’ triggers
Bank disruptors: Crédit Ag taps AI to lure swaptions business
Machine learning model predicts client demand with high accuracy, giving traders an edge in pricing
New pre-cessation poll likely as FCA quells zombie Libor fears
Minimal non-representative lifespan opens door for rerun of Isda trigger consultation