Interest rate swaps
Simm’s first off-cycle rejig hits non-cleared rates
Recalibration lifts initial margin for some products by 37% after year-end volatility forces update
Swap Connect shines light on US client clearing hurdles
New scheme may intensify calls for CFTC to reassess its exempt DCO limitations
Regional banks face soaring term SOFR spreads
Bid/offers hit 10bp as dealers price counterparty risk into non-cleared Libor transition trades
Eurex clearing chief calls for active account carve-outs
Isda AGM: Müller says EU clearing thresholds should exempt market-making and US client trades
Easing of trading curbs is no quick fix for term SOFR swaps
ARRC’s new guidelines will do little to improve liquidity, but may keep a lid on spiralling basis
Fed’s Bowman confirms interdealer term SOFR ban
Isda AGM: Further softening ruled out after April reprieve lifts curbs on term SOFR basis swaps
Dutch pension funds brace for hedging revamp
Planned legislative changes set to reduce long-end hedging needs, but market divided on curve impact
FRA-OIS demise leaves hole in bank treasury risk management
Banks now face ‘greater downside’ to widening credit spreads
BME in talks with global banks over euro swaps clearing
SIX Group's Spanish CCP wants to establish itself as an alternative venue for onshore clearing by 2025
Swap Connect set to launch within weeks
After final rules were published last week, sources suggest CNY swap scheme could go live by May 15
Initial margin requirements for IR swaps hit record $325bn
CME, Eurex and LCH report aggregate 10% rise in month marred by most severe crisis since 2008
Token effort is no blockchain boon for illiquid assets
Cash-like tokenised instruments find takers; initiatives based on less liquid assets struggle to take off
As rates rose, KeyBank unwound 94% of pay-fixed swaps
Sale of AFS hedges left book exposed throughout late 2022, much as at ill-fated SVB
CVA desks avoided re-hedging as Credit Suisse teetered
As credit spreads blew out, dealers opted not to adjust rates and FX risks
Tradeweb lodges MAT application for SOFR and Sonia swaps
If accepted by the CFTC, trades referencing the benchmarks must be traded on-Sef from June 1
US life insurers’ IR swaps usage hits $1.2trn in Q4 2022
Counterparty Radar: MassMutual is largest user of the instrument, finds our new analysis of industry filings
Did US hedge accounting rules contribute to SVB’s recklessness?
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
Revealed: where banks are (literally) warehousing their swaps
As derivatives notional grows, dealers experiment with novel storage solutions
Behnam comments fan JSCC hopes for US client clearing
Japan clearing exec welcomes CFTC chair’s pledge to keep discussing OTC clearing status for non-US houses
Putnam adds $18bn to interest rate swaps book
Counterparty Radar: Market for mutual funds and ETFs grew to $677 trillion in Q4 2022
Eurex-LCH basis hits new highs amid rates vol
10-year price gap spikes to 4bp as 30-year whipsaws; Eurex gauge indicates stable flow balance
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
Taking the measure of CMS pricing
Bank of America quants propose comprehensive framework for modelling rate derivatives
Term SOFR trading ban remains as easing talks collapse
Fed working group resolute on interdealer trading restrictions despite looming capacity crunch