Interest rate swaps
Eurex liquidity pool jumps 39% as required IM rises
Members of the IRS clearing unit saw the largest increase of required margin in Q2
SOFR swap basis could pose ‘systemic risk’
Trading curbs must be loosened to prevent tripling of unhedgeable basis risk, says senior banker
IM at three LCH clearing units rose in Q2
Increase in clearing volumes pushed collateral up at EquityClear, RepoClear and SwapClear
A child of inflation: BNPP’s new macro trading unit
Talking Heads 2022: Currency and rates traders join forces at French bank as it plans to bring FX algos to US Treasury bonds
Natixis fined for mismarking US rates and equities positions
Former rates trader overstated P&L by $25m, while equities traders smoothed profits after 2018 windfall
Interest rate vol triggered three breaches at CME in Q2
CCP’s interest rate swaps clearing unit reported its first initial margin shortfalls since Q3 2020
CME preps April Eurodollar conversion
US exchange selects April 14, 2023 to flip open interest in heavily traded Libor contracts to SOFR
JSCC’s bond and IRS units hit by almost 200 breaches
Q2 volatility triggered some of the largest initial margin breaches ever reported by the CCP
Could a cold collateral winter be coming for pension plans?
UK LDIs passed an early test from rising rates, but margin call pressure is mounting
BMO takes C$983m loss on Bank of the West merger hedges
Temporary inversion of yield curve hit swaps safeguarding target’s fair value
Margin costs leap on Simm rejig and rates hikes
Acadia finds roughly one-third jump in exposure following Simm recalibration, with higher funding costs adding to burden
Goldman’s rates traders have been crowd-watching
Talking Heads 2022: Steepener unwinds in sterling were “canary in the coalmine”, says rates trading co-head
How Citi is handling topsy-turvy rates markets
Talking Heads 2022: Rate hikes and inflation have forced a rethink of the US bank’s hedging strategies
Buy-side retreats to ‘dirty’ CSAs amid collateral crunch
Repo market fears prompt insurers and pension funds to revert to bond collateral
Esma warns new foreign clearing house rules could backfire
Löber says euro swaps trading may move away from CCPs that face toughest EU scrutiny
The ghost of Archegos returns to haunt Simm
UK regulator’s attack on Simm may have more to do with the failed family office than meets the eye
PRA’s pot shots threaten Simm’s global ubiquity
UK regulator’s push to improve model governance could tip non-cleared derivatives market into chaos
Phase six margin cohort may exceed estimates as vol bites
Acadia sees numbers around one-third higher than initial count, with fewer set to rely on relief
UK offers six-month margin reprieve for China netting sweep
Transition period falls short of Isda’s 18-month request, Hong Kong mulls similar relief
Canada term rate plan sparks ‘inverted pyramid’ debate
Some dealers push back on forward-looking Corra proposal amid low derivatives liquidity
‘Strong case’ for US synthetic Libor in bond markets
Temporary publication under SOFR-based methodology could mop up 40% of dollar bond issues
ARRC reconvenes task force to evaluate term SOFR curbs
Concerns over one-sided market for term SOFR swaps prompts review of ‘scope of use’ guidelines
Dealers predict Swap Connect will boost China’s swaps market
Banks expect strong interest from clients wishing to trade instruments onshore via new access scheme
Swaptions transition snags trigger term SOFR calls
Liquidity flips to RFR but laggards struggle with behavioural quirks for contracts referencing overnight rates