Swaps
Volume-starved SOFR leaves quant hankering for data
At T. Rowe Price, a top quant is tired of SOFR being “yanked around by the liquidity premium”
Renminbi contracts grow share of interest rate derivatives turnover
Instruments denominated in non-G10 currencies accounted for 3.8% of average daily turnover in April 2019
Short-term contracts dominate interest rate derivatives turnover
Overnight index swaps made up 31.5% of daily average turnover in April
LCH sets €STR swap clearing launch date
Clearing house to offer the swaps from October 21, discounted at Eonia
Eurex to launch cross-currency swap clearing ‘within weeks’
Clearing service will target dealer-to-dealer trades before later rolling out to clients
Patchy grasp of Libor reform worries Asia lenders
Widespread lack of understanding could hinder renegotiation of loan terms
Singapore looks to establish term RFR by 2020
Swaps linked to overnight rate will help create term structure, says industry committee member
Brexit flips LCH-Eurex basis
LCH-Eurex basis has inverted on buy-side flows, hitting –1.3bp at July low
Evaluating the impact of Libor fallback
The planned discontinuation of Libor and other interbank offer rates (Ibors) in 2022 will affect a large number of existing financial contracts based on these benchmarks. According to some estimates, Libor-based contracts – such as interest rate swaps,…
BAML leads US G-Sibs on swaps exposures to hedge funds
Bank has seen net current credit exposures to hedge funds rise 231% in three years
Swaps between UK banks and foreign firms climb in Q2
Total value of derivatives assets and liabilities with overseas lenders hits £2.09 trillion
Cleared swaps surge $6.6trn at US G-Sibs in Q2
Cleared swaps accounted for 54% of G-Sib notionals in Q2
Dealers dip toe into Sonia swaptions market
NatWest and HSBC print trades, Barclays offers prices
IBA mulls RFQ data and Sonia spinoff to bolster swap rate
Benchmark administrator consults on plan to reduce non-publication and prepare for transition to RFRs
Most active CDS users get biggest savings – research
CFTC economists see benefits to having many counterparties since move to Sef trading
UK banks added OTC notionals in 2018 as EU peers cut back
Barclays, HSBC, Lloyds, Standard Chartered increased notionals by almost €15 trillion
Derivatives up $4.9trn at HSBC in H1
Swollen portfolio could push bank into higher G-Sib surcharge bucket
Connectivity – Standards set to enhance collateral management
Regulatory changes in the over-the-counter derivatives space have seen firms scrambling to find solutions that will ensure they are prepared to manage the transition. As ever-larger transaction volumes place higher demands on firms’ transaction…
Basis swaps spike amid US rates chatter
Budgetary wrangling and talk of Fed cuts spark Libor-OIS basis shift
Sterling RFR group urges Eiopa to end mismatch on rates
In letter, group points to discrepancy in requirement to use Libor-linked rates as Libor fades out
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
Hong Kong seeks European equivalence for Hibor and Honia
For the territory’s crucial renminbi fixings, however, no path to approval has yet been decided