Swaps
Why US dollar Libor spreads may be mispriced
Fallback spreads for all currencies could be fixed together, even if some benchmarks survive past 2021
European regulators issue Brexit relief for UK pension funds
Some EU watchdogs are not enforcing mandatory clearing for trades between region’s banks and UK pension schemes
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
Japan weighs benchmark options as sun sets on Libor
Dominance of risk-free rates in local swaps markets post-Libor is no foregone conclusion, dealers say
Strike a pose: deal contingents back in vogue after mid-year slump
M&A revival breathes life into deal contingent trades, but elevated risk keeps prices high
Margin calls on insurers, pension funds stoked MMF rout – ECB
Dutch firms accounted for huge share of VM payments in March
SOFR trading tails off after ‘big bang’ boost
Volumes peak, then slow down on CCPs’ shift to new RFR, but remain above 2020 averages
UK inflation reform date to be set in November
RPI switch could happen as early as 2025 to reduce government payouts on gilt linkers, experts suggest
FCM client margin for swaps continued to shrink in Q3
Barclays the outlier as required IM jumps 22%
Investors weigh merits of ESG hedging
Opinion divided over proposed tool for transferring risk of non-sustainable activities
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Euro inflation CCP basis expected as Eurex taps buy side
First crop of Eurex inflation swaps trade flat to LCH, but traders predict four-basis point difference as activity builds
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