Interest rate swaps
CGB steepener trade gains traction amid PBoC actions
Stimulus measures and warnings on long-dated yields have seen basis more than double since March
ARRC replacement aims to dodge rates ruckus
Fed’s new reference rate committee wants to avoid reigniting battles about term and credit-sensitive rates
New data reveals Pimco is top Ucits interest rate swaps user
Counterparty Radar: US managers and dealers reign supreme in European retail fund space
Seeking muted rate sensitivity, NYCB scraps all IR hedges
IRRBB simulations show sizeable income drain from lower rates, despite bank claiming rate neutrality
The market liquidity of interest rate swaps
The authors investigate dynamics and drivers of market liquidity in Euribor interest rate swaps, constructing seven liquidity swaps using data from centrally cleared trades.
Marex plots interest rate clearing push
UK broker is live on LCH and plans to be a “day one” clearing member on FMX
Hedge funds pile into euro systematic vol selling
Range-bound rates markets in Europe entice hedge funds to sell short-dated straddle positions
Rates markets rattled as tech outage hits broker pricing feeds
Dealers widened spreads and pulled live curves after TP Icap’s pricing feeds went offline
CME launches term SOFR curve as clearing talks ebb
Give-and-get pricing tool addresses pressing transparency need in $2.5 trillion swaps market
DCOs show resilience beyond key default thresholds – CFTC
Reverse stress test reveals clearing houses remain resilient under low to moderate market shocks
Capital Group grows interest rates swaps book by 62%
Counterparty Radar: Aggregate notional of US mutual fund and ETF positions hit $957 billion in Q1
EU banks hedge net interest income to pass new IRRBB test
Would-be outliers look to cut sensitivity of cashflows to rate moves, but at what cost?
Corporates look to collars amid rates uncertainty
Selling the floor can cover majority of cap’s premium
Five battle for euro swaps clearing
Nasdaq aims to be regional hub, while BME seeks broader slice of ‘active accounts’ pie
Is JSCC-CFTC stalemate about to be broken?
Japan CCP gains allies in battle to clear yen swaps for US clients, but CFTC shakeup could dash hopes
How steepener trades burned hedge funds, and what happened next
Delays to central bank rate cuts torpedo popular trade, causing funds to pull capital – to the chagrin of sell-side desks
Banks look to offload ‘orphan’ hedge risk
Bespoke CDSs shift private credit borrowers’ derivatives default exposures back to the buy side
No EC timeline yet for LCH equivalence decision
Commission may wait to see impact of active accounts rules, says official
Non-deliverable CNY swaps defy doubters
Swap Connect’s launch has helped rather than hindered the instrument, say dealers
Continued decline of the one-stop shop
Dealer Rankings 2024: Only two banks make the top 10 across all rankings tables – others have focused on vertical dominance
Often fluid. Not always liquid
Dealer Rankings 2024: On the buy side and the sell side, the make-up and depth of OTC mini-markets can change rapidly