Interest rate swaps
Swaps data: SOFR swaps slip, futures flip
After a banner month for the young OTC instrument in January, volumes then halved
Dealers suffer in euro rates desert
Analysis shows collapse in swap and bond bid/offer spreads, as traders say business is “unsustainable”
Euro swap bid/offers edge to decade lows
Mifid II and extreme competition raise profitability concerns for euro rates market-makers
Singapore looks to synthetic Libor for new benchmark calculation
The way Singapore’s swap rate is calculated must change if Libor disappears after 2021
Shallow liquidity threatens Saron momentum
Swaps on Swiss Libor successor gain traction, but lack of cash products poses liquidity hurdle
Giancarlo opens door for prop firms to quote swaps
CFTC will grant no-action relief to non-banks that want to provide liquidity in cleared swaps
Volume ‘non-existent’, but SOFR backers are upbeat
ARRC members say despite appearances, SOFR is ahead of schedule and liquidity will come
Swaps market heading for Libor fallbacks clash
Euro market goes own way on question of how to replace term Ibors with overnight RFRs
Clients feel forgotten by Giancarlo’s swaps trading plans
Industry says wider Sef mandate ignores reality of dealer-to-client market
Libor may linger as regulators ‘change tune’
CFTC and FCA suggest benchmark could be kept alive to avoid cash market chaos
Swaps data: SOFR volume and margin insights
Data shows recent leap in SOFR trades – and hints at growth in synthetic swaps
CVA study highlights scale and causes of wrong-way risk
Researchers advise including correlations both with rate level and volatility in CVA calculations
FCA: ‘We can be Libor fallback trigger’
Amid fears of hedging mayhem, Schooling Latter says FCA verdict could be trigger for smoother rates switch
Fed’s MBS exit surprises some with muted rates vol
Shrinking of huge portfolio led to predictions of vol jump that – so far – has not appeared
A tenth of users ‘don’t know’ if Libor death affects them, survey finds
Respondents blame low industry preparedness on lack of standardisation in treatment of fallbacks
SwapClear compressed notional leaps 27% in 2018
$774 trillion of notionals compressed, up from $609 trillion in 2017
Euro term rate likely to be OIS-based, says RFR group chair
Committed quotes “the most viable methodology”, but some insist rate creates new risks
Swaps data: volumes up amid volatility
Data shows strong growth in cleared OTC derivative volumes in second half of 2018, says Amir Khwaja
Libor fallbacks set to split cash and swaps
Basis could appear when benchmark dies, with swaps, bonds and loans embracing different fallbacks
Evaluating the credit exposure of interest rate derivatives under the real-world measure
This paper examines the credit exposure evaluation properties of interest rate derivatives to manage counterparty credit risk, working with the real-world probability.
BlueCrest seeks direct membership at LCH’s SwapClear
Investment firm to make leap away from clearing broker reliance
BNPP US linear rates head to join NatWest Markets
Eric Duclos moves from French bank to run linear rates trading
Greece slashes rates exposure with €35 billion swap programme
Sovereign debt agency entices 18 banks into hedging programme, locking in historic low rates on bailout loans
More carrot, less stick in US Libor transition
Risk USA: US regulators take softer approach than UK counterparts