Interest rate swaps
Eurex-LCH basis hits new highs amid rates vol
10-year price gap spikes to 4bp as 30-year whipsaws; Eurex gauge indicates stable flow balance
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
Taking the measure of CMS pricing
Bank of America quants propose comprehensive framework for modelling rate derivatives
Term SOFR trading ban remains as easing talks collapse
Fed working group resolute on interdealer trading restrictions despite looming capacity crunch
Swaps market braces for $60 trillion Libor conversion
Staggered timeline should smooth transition, but scale of the switch still presents challenges
StanChart is first non-Chinese bank to trade onshore CGB futures
China selects UK bank in first step to opening up its government bond futures market
MTS and WeMatch combine to launch euro swap MTF
New venue to start as interdealer but will soon take on Tradeweb in the dealer-to-client market
PBoC releases draft rules for Swap Connect
Foreign access to onshore CNY swaps limited to interbank bond market users, while Isda docs aren’t ruled out
Esma still waiting for Indian response to proposed CCP deal
EU regulators deny responsibility for dispute; will not initially enforce clearing ban
Crypto gets to grips with interest rate swaps
New derivatives provide synthetic access to staking yields and are being used in structured products
OTC trading platform of the year: Tradeweb
Risk Awards 2023: Traders prized the platform’s convenience and flexibility during last year’s market turbulence
Clearing house of the year: LCH
Risk Awards 2023: A member default and a spike in UK rates were handled with aplomb, while cleared volumes rose
The real deal: the challenge of real interest rates
Understanding real interest rate dynamics as inflation transitions is vital, say Crédit Agricole traders
ECB group sounds alarm on ‘sluggish’ Euribor
Money market participants question robustness of key eurozone rate after methodology changes
Canada approves term Corra rate
CARR restricts use cases but mulls allowing interdealer hedging of derivatives on new benchmark
Libor Act leaves door open for synthetic rate in US contracts
Absence of proposed limit protects borrowers from sky-high prime rate but may irk some investors
Capital Group spearheads mutual fund trim of IR swaps books
Counterparty Radar: Manager cut 70% of its position in Q3 as space shed roughly $174 billion in holdings
CME revises estimated worst-case payment obligation
IRS and F&O clearing units both subject to revision in Q3
LCH Japan plan signals new fight for global clearing model
UK-based clearing house faces “uphill struggle” against JFSA location policy on yen derivatives
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
IM at Eurex Clearing’s IRS unit rose again in Q3
Heightened market volatility behind latest increase to record high €50.7bn
SOFR remains elusive in US dollar collateral agreements
Derivatives users slow to amend CSAs amid market volatility and looming Libor deadline
LCH’s fixed income and IRS units hit by record margin breaches
Peak breaches in Q3 were £924 million and £698 million in size, respectively
FCA’s synthetic Libor plan could trigger US legal disputes
Tough legacy solution threatens to override existing fallbacks in some US law contracts