Interest rate swaps
Term SOFR restrictions spark valuation debate
Ban on interdealer trading leaves dealers divided over accounting treatment of in-demand contracts
SwapClear’s required initial margin up 3% at end-2021
IM held against interest rate positions rose to highest level in a year
Time’s up for UK banks to unwind swaps with VTB
Majority of contracts have been terminated, but laggards face prospect of default
Capitalab co-founder quits firm
David Bachelier leaves BGC-owned compression venture after seven years
USD pay-fixed swaps grew in Q4 ahead of rate hike
Counterparty Radar: Pimco and Capital Group bucked the trend, leaning toward receive-fixed exposures
Valuation and risk management of vanilla Libor swaptions in a fallback
A procedure to price vanilla European Libor swaptions derived from the SABR model is presented
US funds edge towards SOFR adoption
Counterparty Radar: A fifth of swap notional held in Q4 references the RFR but funds still lean on USD Libor
US rate caps under strain amid volatility surge
Market uncertainty hits liquidity in options on swaps, dealers say
Eurex boosts liquidity buffer by 26%
Increase largely driven by the growth of the CCP’s IRS business
‘Dead’ derivatives market leaves big Russia dealers unhedged
VTB and Sberbank face directional exposure to local corporates after mass unwinds by foreign banks
Russia sanctions throw derivatives market into disarray
Lawyers say western banks face illegality terminations; industry groups plan deliverable ruble workaround
EC ignores pleas to extend clearing consultation deadline
Despite industry appeals for more time on EU-wide clearing consultation, EC refuses an extension
Legacy Libor swaptions face day of reckoning
Holders of physically settled swaptions in sterling and yen must switch to new risk-free rates, but it’s not simple
Fillip for credit-sensitive rates as Axi, Critr advance
IHS Markit makes benchmarks available for live products; Invesco appointed as Axi administrator
CBA’s IRRBB charge up 37% in volatile Q4
Volatility in Australian dollar swap rates the culprit for the increase
Banks rely on clients to police US Libor ban
Dealers say it’s “impossible” to verify end-user compliance with narrow Libor exceptions trade by trade
Market halts clearing shift to Eurex ahead of EU consultation
Participants hit ‘pause’ after proposed three-year equivalence extension for UK clearing houses
CCPs to review conversion blueprint ahead of SOFR switch
Rising rates vol expected to push US transition to the wire, but process likely to follow previous runs
Japan’s Tibor swap rate faces cessation
Administrator Refinitiv could end benchmark as soon as next week following withdrawal of contributors
Pimco’s Brazilian real deal swells its swaps portfolio
Counterparty Radar: Bond investor held an 83% market share of BRL swaps traded with mutual funds at Q3 2021
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
JSCC member received $3bn cash call in Q3
The CCP revised its estimate of the worst-case payment obligation that would have to be met should one of its participants collapse
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion