Swaps
Euro swaps clearing showdown pits banks against Brussels
Forcing swaps clearing to Frankfurt would play into hands of US rivals, say European dealers
Government bond swaptions and how they might work
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Traders see easy switch off Libor in Swiss market at year-end
Saron swaps trading still slow but traders say liquidity is rising and see no hurdles to transition
‘Crypto Dad’ Giancarlo says DLT could have aided in Archegos
Former CFTC chair says managing collateral by distributed ledger technology would enable better oversight of risks
UK funds fall out of love with sterling swaps
Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds
Market dispels fears over USD Libor cross-currency swap shift
Traders confident market convention will shift to RFRs on both legs of deals
US stumbles in pursuit of term SOFR
Flaky swaps liquidity sees June 2021 target slip; CME claims indicative settings already meet international standards
ECB: don’t expect equivalence extension for UK CCPs
Central bank official says EC likely to stick to June 2022 deadline
Derivatives notionals at Wells Fargo, BofA fell in 2020
Written options notionals dropped 12% in aggregate
Fed group: SOFR term rate unlikely in 2021
ARRC chair says use case of a forward-looking benchmark would be limited
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
BoE to consult on Sonia clearing mandate
Long-dated Sonia swaps set to lose clearing exemption as liquidity shifts from Libor
New risk-free rate in Korea gets industry thumbs-up
Majority of 26-member benchmark panel back “credible” repo-based rate
SABR smiles for RFR caplets
The SABR model for volatility is adapted to price risk-free rate caplets
Clearing house of the year: Eurex Clearing
Risk Awards 2021: clearer’s Prisma margin model proves its mettle in year of market tumult
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%