Interest rate swaps
Euro, dollar-denominated ETDs boomed in Q1
But diverging demand for futures and options points to uncertainty on Fed and ECB timings
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
Eurex’s fixed income and IRS units hit by almost 700 breaches
Peak breaches in Q1 were €706 million and €214 million in size, respectively
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
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
Interest rate swaps help BMO keep M&A deal on track
Hedges to safeguard the Bank of the West acquisition have already yielded $2.7bn in mark-to-market gains
Buy side looks to cash in on euro swap pricing anomaly
Fixed rates on long-dated €STR swaps now above their Euribor equivalents
Eurex wants regulators to do more to kick-start EU clearing
Around half the end-user accounts opened at the CCP after Brexit remain dormant
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
Australian banks’ charges for rates risk soar 66% in Q1
Sudden rise in longer swap tenors eats into equity generation potential
UMR phases five and six: grappling with outstanding challenges
At Asia Risk Live, held in Singapore in March, and in partnership with S&P Global Market Intelligence, three market experts discussed the outstanding challenges associated with implementing and adhering to uncleared margin rules (UMR) phases five and six
Rate-linked notes trigger ‘pain trade’ for dealers
Negative 2y30y US swap spread sees hedging costs for range accruals soar, fuelling more flattening
A second term SOFR: help or hindrance?
Ice launches CME rival as fallback for loans but market ambivalence may put endorsement out of reach
Regional banks lead charge into term SOFR
Forward rate is favoured by smaller lenders and is increasingly used in caps and floors
EU banks decry threat of capital hit to UK CCP exposures
EBA says supervisors could apply charges to “excessive exposures” of euro derivatives at all non-EU clearing houses
Term SOFR restrictions spark valuation debate
Ban on interdealer trading leaves dealers divided over accounting treatment of in-demand contracts
SwapClear’s required initial margin up 3% at end-2021
IM held against interest rate positions rose to highest level in a year
Time’s up for UK banks to unwind swaps with VTB
Majority of contracts have been terminated, but laggards face prospect of default
Capitalab co-founder quits firm
David Bachelier leaves BGC-owned compression venture after seven years
USD pay-fixed swaps grew in Q4 ahead of rate hike
Counterparty Radar: Pimco and Capital Group bucked the trend, leaning toward receive-fixed exposures
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
US funds edge towards SOFR adoption
Counterparty Radar: A fifth of swap notional held in Q4 references the RFR but funds still lean on USD Libor