Interest rate swaps
Singapore calls time on new SOR swaps from September
Report calls on market participants to end reliance on SOR in coming quarters
Dealers applaud proposal to halt yen Libor swaps after Q3
BoJ working group timetable viewed as likely to boost liquidity in nascent Tonar market
Industry group backs wider use of term Sonia in derivatives
Swaps used to hedge tough legacy products and some new loans could reference a forward rate
US stumbles in pursuit of term SOFR
Flaky swaps liquidity sees June 2021 target slip; CME claims indicative settings already meet international standards
Tradition to launch first SOFR order book
Streaming swap prices are a critical step to creating term rates for loan markets
Philippines weighs options for replacing swaps benchmark
Industry group identifies two alternatives but overnight rates are off the table. For now.
Isda plans ‘modular’ RFR conventions
Swaps definitions will be updated in response to divergent compounding styles in loan markets
BoE to consult on Sonia clearing mandate
Long-dated Sonia swaps set to lose clearing exemption as liquidity shifts from Libor
IBA rolls out Sonia indexes for lending markets
Alternative to BoE index includes 0% floors and support for both lag and shift conventions
Non-cleared margin logjam looms after squandered delay
Fewer than half of phase five firms have submitted documentation necessary to open custody accounts
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
Repo-linked renminbi floaters fail to excite investors
Muted demand dents China’s hope for repo fixing to become debt market’s benchmark of choice
Swaps users shun cash compensation in LCH Libor switch
Members push for spread adjustment to maintain risk profiles, ignoring warnings of market bifurcation
Korea lifers set to increase hedging as accounting shake-up looms
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
SOFR swaps traded volume hit new high in January
Notional volumes surpass $222 billion
Acadiasoft brings IM standards in-house with Quaternion buy
Deal will help data standardisation efforts and cut outsourcing risk in Simm calculation service
OTC infrastructure service of the year: Capitalab
Risk Awards 2021: valiant effort to solve swaptions discounting problem wins praise from clients
Hedging adviser of the year: Rothschild
Risk Awards 2021: restructuring effort helped Arqiva to slash its derivatives exposures by 40%
Shell bides time over Isda fallbacks
Oil major will adopt Isda protocol as “insurance policy” despite hedge accounting concerns
FCMs to let clients offset swaps and futures margin at Eurex
Banks target Q2 support for client cross-margining following lengthy lobby effort from hedge funds
FCA sees ‘no case for delay’ on Libor cessation ruling
Synthetic Libor powers set for spring consultation as fallbacks become effective and IBA analyses cessation feedback
Isda fallback protocol sees healthy take-up
Some hedge fund holdouts remain amid 12,000 signatories
Multi-curve Cheyette-style models with lower bounds on tenor basis spreads
A solution for a no-arbitrage condition in Cheyette-style models is proposed
Investors eager for next round of China financial reforms
Asia Risk 25: Bond futures and credit default swaps the missing pieces