Interest rate derivatives
The ghost of Archegos returns to haunt Simm
UK regulator’s attack on Simm may have more to do with the failed family office than meets the eye
PRA’s pot shots threaten Simm’s global ubiquity
UK regulator’s push to improve model governance could tip non-cleared derivatives market into chaos
Phase six margin cohort may exceed estimates as vol bites
Acadia sees numbers around one-third higher than initial count, with fewer set to rely on relief
BNP G10 rates sales head takes new developed markets role
Joe Squires’ move sees Neehal Shah, Ashley Parker and Xavier Gallant pick up new rates responsibilities
UK offers six-month margin reprieve for China netting sweep
Transition period falls short of Isda’s 18-month request, Hong Kong mulls similar relief
Canada term rate plan sparks ‘inverted pyramid’ debate
Some dealers push back on forward-looking Corra proposal amid low derivatives liquidity
‘Strong case’ for US synthetic Libor in bond markets
Temporary publication under SOFR-based methodology could mop up 40% of dollar bond issues
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
Thomas Pluta leaves JP Morgan
US bank’s global linear rates head departs after 27-year stint
Libor/SOFR basis like ‘free money’ for early movers – GS trader
Sharp narrowing of basis swaps below fallback spreads has failed to open transition floodgates
Calls grow to ease restrictions on term SOFR derivatives
Ban on interdealer trading is raising costs for end-users transitioning from Libor, banks say
Rates correlations break down amid volatility surge
Dealers say go-to hedges are now too risky as old relationships fail
JSCC swap surge triggers plea to rethink US client ban
With over two-thirds of yen RFR swaps volumes going to JSCC, calls grow for CFTC to ease clearing restrictions
BNY Mellon offers ‘seg-light’ custody model to aid IM prep
Pre-prepared docs would cut unnecessary account fees and reduce risk of trading halts
SwapClear incurs record number of margin breaches
LCH’s interest rate derivatives clearing service reported over 4,000 backtesting exceptions in Q1
Cross-currency’s €STR switch may hasten Euribor demise
Rising cost of issuer cross-currency hedges could spur greater adoption of euro risk-free rate
A SwapAgent-bilat basis? Not for now
SA-CCR may make settled-to-market capital benefits more difficult to quantify
CME to reinforce term SOFR with swap inputs
Inclusion would leapfrog a 25% OTC liquidity threshold embedded in methodology
LCH plans two-part US Libor swap conversion
CCP to ditch pre-emptive basis splitting in April and May switchover, but retains overlay swaps
Duck! Buy-side plan to dodge IM rules could backfire
Three-quarters of phase six firms do not expect to exchange margin for at least six months
New interest rate definitions see rapid adoption
Isda AGM: Trade body’s general counsel warns swaps users not to rely on 2006 rulebook
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