Swaps
Preparing for the initial margin phase-in
Requirements for the mandatory exchange of initial margin are expected to be time‑consuming and laborious to implement. David White, head of sales at triResolve, discusses the lessons learned from in‑scope firms, obstacles to achieving compliance and how…
Morgan Stanley FCM gains ground in Q2
Share of required client margin increases to 19% at end-June
Dealers seek FRTB carve-out for Libor transition
Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor
VM switch shrinks Nomura's balance sheet
Revised treatment of variation margin reduces exposures by ¥247 billion
Oversight row could block EU firms from US clearing – Giancarlo
Europe’s planned post-Brexit CCP reforms “irreconcilable” with US rules, says CFTC chief
Asian LNG derivatives trade surges on increased hedging
Expectations grow that a long-awaited Asian gas derivatives market is emerging
Dealers slam ‘nonsensical’ treatment of forex derivatives
Proposal on US swap dealer threshold rekindles debate on definition of NDFs and window forwards
The swap market model with local stochastic volatility
An easy to calibrate and accurate swap market model is proposed
CPI bonds set for growth, say dealers
Double issuance sparks hopes for inflation-linked swap market
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
Gottex chief on expansion plans amid industry disruption
With brokers facing headwinds, Swiss firm doubles down on Scandi niche
Citi fastest growing FCM; Credit Suisse loses ground – CFTC data
Citi grows client margin 36% in year to end-April, Credit Suisse shrinks 16%
EU parliament’s moratorium plan billed ‘recipe for bank run’
Proposal allows pre-resolution stay as well as one during resolution provided bank reopens in between
Brexit: banks consider four ways to move swaps en masse
Statutory business transfers in frame as bilateral novation may take too long
Swaps users to get three choices for synthetic Libor
Consultation due next month as industry tries to avoid big losses on benchmark’s death
Number of banks per RFQ jumps in EU, posing risk to prices
Some requests for quote are sent to over 20 dealers, raising worries about information leakage
Swaps market off pace for IM rules – Isda survey
Participants want to see more standardisation in collateral and custodial contracts
EU shelves limits on structural FX hedge exemptions
Basel rethink on FRTB capital ratio hedging prompts fresh questions over EU implementation
FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
Power to the people: US bourse bets on retail rush into swaps
Eris Exchange hopes retail access to its swap futures will usher in new era of swaps for all
Swaps basis leaps as LDI funds prep for Libor’s death
Gap between 30-year Libor and Sonia swaps surges 36% in three weeks
JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
Brexit: banks take the ‘no’ out of novations
Swaps clauses stop end-users blocking counterparty switch, making it easier to move trades to EU affiliates