Interest rate swaps
A regulatory push is key for a post‑Libor world
An online webinar hosted by Tradeweb and convened by Asia Risk explores the importance of directives and timings being clearly laid out by regulators in the transition away from Libor
US fund filings show CME taking bite out of LCH swaps share
Counterparty Radar: Rivals neck-and-neck after big LCH user cuts rate swaps book and non-G10 trades surge
UK bank derivatives exposures fall by £321bn in Q2
At £1.12 trillion, FX exposures are at their lowest levels for seven years
How Brexit split Aegon’s euro swaps book
Years-long effort saw trades quietly move to Frankfurt – but firm wants continued access to LCH
Mizuho tries its hand in European rates
Japanese bank bets on handful of deep relationships to compete in crowded European market
Federal bill unpicks some, not all, US Libor legacy knots
Legislative effort is progressing with bipartisan support, but non-US law contracts won’t benefit
Corporates pre-hedge future bond sales as inflation rises
Companies are making the most of low rates while they last and hedging issuance that’s years away
EU ‘unlikely’ to force swaps relocation – ex-MEP Swinburne
Multinational corporates would resist clearing move if CCP equivalence is lost, says former lawmaker
Brokers may flout deadline to darken US dollar Libor screens
SOFR First step raises transparency concerns; threatens publication of Ice swap rates
Derivatives pricing starts feeling the heat of climate change
Quants find physical and transition risks can lead to significant rise in CVA
Cross-currency swaps set to ditch Libor in ‘RFR first’ drive
A plan to oust Libor in September is expected to spur voluntary RFR adoption for euro legs
CME’s term SOFR rate gets the official nod
Endorsement comes just three days after ‘SOFR first’ drive, cementing availability in fallbacks
Capturing the effects of climate change on CVA and FVA
A framework to incorporate climate change risk into derivative prices is presented
Swaptions get fallback safety net, but crave CCP fix
Isda’s Ice swap rate fallbacks calm fears, yet CCP action needed to protect physical settlement
Term SOFR gets cautious blessing for derivatives
ARRC use cases for forward RFR could accelerate derivatives’ availability, though dealers must warehouse basis risk
UK aims to beat EU in Mifid swaps reporting stakes
UK follows up proposed EU solution to confusion over post-trade transparency with its own fix
Euro RFR group calls for statutory Eonia fix
Legal designation for €STR as replacement rate would avert “confusion” in €9trn of legacy contracts
New Isda definitions pave way for bespoke swaps clearing
Pick-and-mix grid of floating rate options will make it easier to clear post-Libor bond hedges
A BMR-shaped hole in the US Libor transition
US could benefit from copying EU Benchmarks Regulation as market moves to shaky Libor successors
Confusion reigns as US prepares for Libor’s end
Mixed messages from US regulators make it more difficult to plan for life after Libor
Pick a rate: pitfalls and prizes in the post-Libor world
SOFR set to win big in replacing Libor, but trillions could scatter across alternatives
Time to end debate on SOFR alternatives, participants warn
Doubt over future of five credit-sensitive Libor replacements may be hindering late-stage Libor transition
Ice pips Refinitiv to synthetic Libor prize
FCA selects IBA term Sonia for sterling tough legacy fix; Torf chosen for three yen settings
Turning challenges into solutions
With margin requirements a potential drain on financial resources, delivering healthy returns while meeting regulatory obligations is paramount. To help participants optimise more of their risk, Varqa Abyaneh, chief product officer, Quantile, discusses…