Swaps
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
OTC swaps exposures of systemic US banks fell back in Q2
Aggregate current credit exposures to hedge funds falls 42% quarter on quarter
Swaption compensation consensus proves elusive
ECB-sponsored recommendations fail to rally market behind compensation exchange solution
Non-cleared euro swaps market wrestles with discount rate switch
Buy-siders prepare for valuation change from move to €STR
FX swaps platform aims to cut out the banks – but not entirely
Peer-to-peer newcomer FX HedgePool targets asset managers’ month-end hedging activity
Singapore to end Sibor by 2024
Multi-rate approach ditched after failed efforts to enhance Sibor
FX swaps clearing redux
SA-CCR could unleash the potential of clearing, and may ignite some big changes
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
Rise of ethical swaps brings hedging questions
Banks ponder how to offset risks of ESG derivatives – or whether hedging is even desirable
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
LCH, HKEX to clear swaps linked to Asia overnight rates
Clearing houses ready launch of SORA and Honia swaps, but timing is uncertain
UK banks’ derivatives books shrunk at year-end
The gross fair value of portfolios declined 22%
How regional banks could shape US Libor replacement
Regulators convene working group to address credit sensitivity concerns
Swaps data: how the market responded to Covid-19
Swap rates saw massive moves as volumes peaked, writes Amir Khwaja of ClarusFT