Swaps
Ex-Isda risk chief: ditch gross notional thresholds for clearing
10 years on, David Murphy says mandate should be rebased to exempt less risky firms
Number of SOFR swaps traded hits new peak
Over 220 swaps struck for the first time since trading began
FX swap volumes set to rise on China bond index inclusion
Traders expect greater use of FX derivatives if FTSE Russell adds bonds to WGBI this week
Sterling swap traders brace for new Sonia switch deadline
Covid delays force regulators to set new date for interdealer swap market to price off RFR
Systemic US banks crushed cleared OTC notionals in Q2
Outstanding amounts fall 12 quarter-on-quarter
Will the exit price be right in new Isda docs?
Industry body is updating unloved procedure for valuing terminated swaps
UK banks’ rate swaps books continued to grow in Q2
Interest rate swap exposures hit £4.42 trillion
Benchmark reform goes non-linear
Terminating Libor will bring great challenges to the pricing of non-linear rate products
A bridge too far: EBA swap stay to spur mass repapering?
Industry scrambles to avoid duplicating BRRD close-out contract changes across four jurisdictions
UK banks’ swaps exposures to overseas firms edge lower
Total net derivatives assets fell 4% over three months to end-June
The FX swaps client clearing comeback
Chatter about the service is picking up again, but significant hurdles remain
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
OTC swaps exposures of systemic US banks fell back in Q2
Aggregate current credit exposures to hedge funds falls 42% quarter on quarter
Swaption compensation consensus proves elusive
ECB-sponsored recommendations fail to rally market behind compensation exchange solution
Non-cleared euro swaps market wrestles with discount rate switch
Buy-siders prepare for valuation change from move to €STR
FX swaps platform aims to cut out the banks – but not entirely
Peer-to-peer newcomer FX HedgePool targets asset managers’ month-end hedging activity
FX swaps clearing redux
SA-CCR could unleash the potential of clearing, and may ignite some big changes
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
Beware of cliff edge in Libor fallbacks
Derivatives users may see a sudden change in the value of payoffs when Libor ends, Coremont analysts write
Funding adjustments in equity linear products
How tax asymmetries and Tobin tax affect the pricing of total return swaps
Bruised, not broken: execs say Libor switch on track despite Covid
Compressed timeline for transition may leave smaller firms struggling to meet end-2021 deadline
Lagging futures market holding back swaptions RFR transition
“Elephant in the room” is hindering non-linear growth and swap market liquidity, say rates traders
Banks tout early roll dates for FX swaps as quarter-end looms
Asset managers open to more flexible hedging strategies since March turbulence, say dealers
Appetite for renewed Fed dollar swap lines in doubt
With up to $300bn of positions nearing expiry, some say FX swap market can meet banks’ funding needs