Swaps
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
Interest rate swaps powered Q1 derivatives boom at top US banks
Rate derivatives notionals increase 22% quarter-on-quarter
US benchmark switch splits swaptions market
Some users ignore new guidance to nominate SOFR for swap discounting
CFTC advisory body backs six-month initial margin ‘grace period’
Majority vote to recommend extra six-month extension for phases five and six of initial margin rules
Swaptions compensation method divides market
US and European firms back redress payments, but disagree over how they would work
UK banks’ derivatives books shrunk at year-end
The gross fair value of portfolios declined 22%
Swaps data: how the market responded to Covid-19
Swap rates saw massive moves as volumes peaked, writes Amir Khwaja of ClarusFT
Shale firms pump hedge books for liquidity lifeline
Lucrative hedge portfolios offer promise of cash but unlocking residual value won’t be simple
How carbon-cutting Drax manages currencies and credit
Interview: UK power giant uses option selling – and other tactics – to create hedging headroom
Dollar funding squeeze eases after March madness
Fed action helps restore equilibrium, leaving fears of quarter-end crunch unfounded
OIS volumes collapse after rates plummet
USD OIS weekly traded notional falls to $502 billion from recent $3.3 trillion peak
China regulator to outline legal thinking on close-out netting
Coronavirus could delay things, but authorities are taking small steps on a thorny issue
Outsmarting counterparty risk with smart contracts
A digital transaction system developed by quants at DZ Bank could slash margin costs for derivatives
Sonia swaps surge not mirrored by futures
Popularity of short sterling futures takes shine off Sonia’s RFR succession
E-trading takes hold for FX swaps – sort of
Bulk of trades are being executed over screen, but bolder changes have stalled
Fed funds swaptions offer SOFR alternative
Investors dry-run systems using familiar overnight rate, as markets wait for SOFR liquidity to build
FCMs clamour for formal rule on separate account margin
Costly compliance effort will be to no avail if CFTC relief expires in June 2021