Interest rate derivatives
Isda pushes to ‘decouple’ Simm calibration from model changes
Emir 3.0 prompts effort to separate risk-weight revisions from methodology updates
Georgios Skoufis on RFRs, convexity adjustments and Sabr
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
Singapore Exchange to return to short-term rates market
SGX president Syn hails new Sora and Tona futures as the “missing chunk of the rates complex”
Euribor to ditch ‘expert judgement’ in May
Plan to infer euro funding costs from term version of €STR wins industry backing
Traders dispute predictions of quick €STR transition
Poll points to five-year transition, but traders say replacing Euribor will be “a marathon”
Nasdaq’s bid for euro swap clearing faces questions
Dealers unconvinced by Swedish CCP’s attempt to capture relocated euro swap clearing volumes
A change of TIIE: the knotty issue of Mexico’s benchmark switch
Outlier fallback methods and narrow window to build F-TIIE derivatives liquidity make for ambitious transition plan
In a world of uncleared margin rules, Isda Simm adapts and evolves
A look back at progress and challenges one year on from UMR and Phase 6 implementation
IM requirements for interest rate swaps up $30bn in December
Latest figures from CME, Eurex and LCH show a trend reversal from previous six months
Confusion reigns ahead of crucial Emir 3.0 vote
Leaked text introduces multiple calculations and thresholds for mandatory clearing and active accounts
Why Canada may need to revisit term Corra methodology
Break from US guidance benefits dealers but some futures inputs underpinning term rate are in short supply
Bond funds made losing derivatives bets as rates climbed
Some managers’ use of interest rate derivatives looks like ill-timed speculation, study finds
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
Basel’s cherry-picking toughens IRRBB shock scenarios
European banks want higher outlier thresholds to offset higher confidence level in new standard
Philippines readies new swaps benchmark
Philippine peso rates market has been without an interest rate benchmark since June 2023
Westpac fined over interest rate swap pre-hedging
Court finds against Australian bank for “unconscionable” behaviour, amid calls for a broader guidance around the practice
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
Polish benchmark transition hits new snag
Compounded index suspended over data errors as Wibor extension reopens successor debate
LCH-JSCC basis turns negative on BoJ policy shift
Changes in hedge fund positioning at LCH seen as driver of inversion on 20-year swaps
Term SOFR derivatives creep into US fund holdings
Global Atlantic shows sizeable swaps position against the new benchmark as other managers ease into trading
Rustad re-emerges at Taula Capital
Former JP Morgan clearing head to help prepare for Q2 fund launch