Interest rate swaps
LCH-Eurex basis falls 80% as insurers head to Frankfurt
Fixed rate available at Eurex has dropped from 1.35bp to 0.25bp in past two months
Clearing up Deutsche’s swaps ‘shift’
Reported move of euro business is not as straightforward – or as dramatic – as it seemed
Swaps data: OTC margin up; futures margin down
Swaps initial margin jumps 22% year-on-year, against surprise fall in futures margin, writes Amir Khwaja of Clarus FT
First SOFR swaps trade as banks test new benchmark
First OTC trades include two basis swaps and an OIS trade, with JP Morgan thought to be a counterparty
US swaps users want CFTC rules lifted in Libor switch
Dodd-Frank should not catch contracts amended as part of move to new rates, letter argues
BAML shrugs off higher funding costs
Bank reports 38 basis point jump in long-term debt interest expense quarter to quarter
Pimco criticises LCH over SOFR plan
Senior official calls on CCP to follow CME and use SOFR for margin interest and discounting immediately
Brexit threatens some swaptions trades
Force majeure clauses could be triggered on physically settled contracts
Swaps data: the big get bigger in cleared swaps
First half of 2018 sees strong growth in cleared OTC derivatives volumes, writes Amir Khwaja of Clarus FT
Eonia woes hold up euro swaptions switch
Eleventh-hour derailment for project that has been in the works for a year
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
BAML replaces head of global rates
Gupta and Stanley named co-heads as Roberts exits
Libor transition raises basis risk fear
Shift to secured benchmark could cause dislocation between bank funding and lending rates
EIB shrugs off term RFR worries with Sonia bond plan
Issuer to use daily compounded, backward-looking rate with time lag for sterling benchmark
trueEX sues 11 banks over swaps ‘conspiracy’
Platform alleges market-makers acted to preserve dominance of bank-owned Tradeweb
Swaps data: anatomy of a wild week in dollar swaps
Chaotic Italian politics jolted rates markets – including US dollar interest rate swaps, writes Amir Khwaja of Clarus FT
UK derivatives market continues to shrink
Gross market values lowest since December 2007
Planned sale prompts hard look at post-trade firms
Plans to sell MarkitServ fuel warnings about middleware vendors’ future
EU close to granting swaps-trading equivalence to Singapore
Planned MAS trading obligation would otherwise seal off local traders from global liquidity
Libor expert: don’t rely on forward RFR rates for transition
Swaps users should embrace backward-looking risk-free rates instead, says chair of UK working group
Curve dynamics with artificial neural networks
Artificial neural networks can replace PCA for yield curves analysis
Buy side using compression tools to create, not destroy
Custom-trading services are booming at Bloomberg and Tradeweb, but not for the reasons intended
RBA’s Debelle warns against buy-side Libor complacency
Central banker also says Australian dollar swaps may gradually migrate to cash rate if other Ibors end
Euribor can stay if reforms succeed – ECB’s Holthausen
Regulator also sees no clear favourite in array of Ibor fallback approaches