Interest rate swaps
How fintech could reboot Libor
Polsinelli’s Rutenberg says blockchain technology and ‘Libor currency’ could boost submission incentives and make process more secure
Swaps basis leaps as LDI funds prep for Libor’s death
Gap between 30-year Libor and Sonia swaps surges 36% in three weeks
US swap trading overhaul may reinforce market split, users warn
New rules on trade execution likely to halt any unifying shift of liquidity to order books
JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
Tullett Prebon and the mystery Clob
How tpSef quietly kept voice broking alive in a regime designed for e-trading
Libor concerns prompt switch to Sonia swaps
Move by some UK LDI managers has steepened Sonia-Libor basis
JSCC to aid yen Libor transition with new OIS swaps
Market participants sceptical launch will boost liquidity enough to help move off yen Libor
Swaps users face tense wait for Euribor all-clear
Euro swaps market would have a year to replace rate if it fails to comply with EU benchmark rules
BoE to authorise EU CCPs ‘at 00:01’ on Brexit day
Central bank hopes plan to preserve access for EU CCPs will be reciprocated
Scrapping of Eonia revamp piles pressure on ECB
Dealers fear central bank's new rate won’t arrive in time to create swap curve by 2020
A copula approach to credit valuation adjustment for swaps under wrong-way risk
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Non-EU banks consider updating benchmark fallbacks
Move follows Iosco call for contingency planning that mimics new EU standards
Game of Sefs: Tradeweb topples Bloomberg
Buy side’s desire for lighter-touch trading of interest rate swaps propels Tradeweb to top spot by volume
Platforms win small on Mifid day one
Some dealers stopped quoting bilaterally on smaller bond trades
LCH and Eurex extend new swap VM treatment
Three US banks used method to cut swaps assets by more than $300bn in third quarter
Citi and JP Morgan back MarkitSERV rival
Big dealers revealed as first bank clients of swaps start-up truePTS days after legal settlement
Rates flow market-maker of the year: Citadel Securities
Risk Awards 2018: Firm takes on dealers once again by market-making in custom swaps and off-the-run Treasuries
FASB to vote on hedge accounting for US Libor successor
Standards body likely to approve SOFR as eligible
Eonia jump forces rethink of euro swap pricing
Traders say volatility of discount rate should be taken into account after "unprecedented" 12bp move
China bond sell-off makes case for options market
Current hedging tools inadequate, but regulators reluctant to liberalise derivatives markets
Swaps data: CCP and Sef volumes still growing
First three quarters show strong growth in interest rate swaps, forex NDFs and index CDSs