Swaptions
BofA claims top swaptions dealer spot for US life insurers
Counterparty Radar: Sector-wide exposures grew 35% in Q4 2022 on the back of large MetLife trades
Morgan Stanley scores big with swaption trades
Counterparty Radar: Mutual funds increase pace of transition from USD Libor to SOFR in Q4 2022
Behnam comments fan JSCC hopes for US client clearing
Japan clearing exec welcomes CFTC chair’s pledge to keep discussing OTC clearing status for non-US houses
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
EU snub to clearing carve-out hurts optimisation efforts
Forcing firms to clear risk-reducing trades would squeeze collateral and potentially hike liquidity risk, dealers warn
Booming US fund swaptions market boosts Morgan Stanley
Counterparty Radar: Nomura cements position as leading foreign-owned dealer in the space
LSEG bolsters non-cleared ambitions with Acadia deal
Exchange group plans to build ‘a clearing house for the non-cleared world’, says LCH CEO Maguire
Nomura’s swaptions volume jumps in Q2 on Pimco trades
Counterparty Radar: Japanese bank triples size of US mutual funds book despite market contraction
A child of inflation: BNPP’s new macro trading unit
Talking Heads 2022: Currency and rates traders join forces at French bank as it plans to bring FX algos to US Treasury bonds
Podcast: the remaining challenges for Libor transition
Rates quant says swaptions fallbacks turn cash-settled vanilla products into exotics
Why a US fund manager added $4.8bn of Libor swaptions in Q1
Columbia Threadneedle’s eyebrow-raising trades were part of an effort to clean up legacy hedges
ARRC reconvenes task force to evaluate term SOFR curbs
Concerns over one-sided market for term SOFR swaps prompts review of ‘scope of use’ guidelines
Swaptions transition snags trigger term SOFR calls
Liquidity flips to RFR but laggards struggle with behavioural quirks for contracts referencing overnight rates
Swap rate: cash-settled swaptions in the fallback
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
Rates correlations break down amid volatility surge
Dealers say go-to hedges are now too risky as old relationships fail
Citi dominates mutual funds’ Q1 swaption expansion
Counterparty Radar: Goldman maintains commanding share of dealer business as space hits new record high
Euro, Swiss swaps trading jump on rate hike chatter
Highest weekly volumes since at least 2020 as ECB and SNB gear up for policy change
Buy side looks to cash in on euro swap pricing anomaly
Fixed rates on long-dated €STR swaps now above their Euribor equivalents
A SwapAgent-bilat basis? Not for now
SA-CCR may make settled-to-market capital benefits more difficult to quantify
Lack of supply keeps short-end euro rates vol high
Hedge funds and corporates rush to hedge potential rises in euro interest rates – but sellers aren’t there, say traders
Pimco triples book as IR swaptions market nearly doubles
Counterparty Radar: Goldman Sachs nets almost all of bond giant’s Q4 growth
Rate-linked notes trigger ‘pain trade’ for dealers
Negative 2y30y US swap spread sees hedging costs for range accruals soar, fuelling more flattening
Capitalab co-founder quits firm
David Bachelier leaves BGC-owned compression venture after seven years
Valuation and risk management of vanilla Libor swaptions in a fallback
A procedure to price vanilla European Libor swaptions derived from the SABR model is presented