Interest rate derivatives
After coronavirus rout, concerns raised about Simm
Annual recalibration means March volatility will not be reflected in margin until end-2021
ABN winds down Ronin books after Vix losses
$200m loss suffered by bank’s clearing business is thought to be mystery second default
Corporates sprint to lock in low rates
Dealers are seeing increased demand for interest rate hedges despite higher execution costs
OIS volumes collapse after rates plummet
USD OIS weekly traded notional falls to $502 billion from recent $3.3 trillion peak
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
Swaps benchmark vanishes as traders flee firm price venues
Dollar Ice swap rate fails to publish in March rout; patchy Sonia Clob prices could delay term rates
Swaps liquidity slumps as Treasury stress spreads
Big buy-side participants report “worst day” for market depth in 10 years, as spreads widen and prices gap
Bonds and swaps struggled in virus volatility
Low liquidity and wider spreads amplified by remote working, traders claim
Sonia swaps surge not mirrored by futures
Popularity of short sterling futures takes shine off Sonia’s RFR succession
The UK’s path to EU equivalence: détente or detour?
Race to meet post-Brexit cross-border trading requirements will go down to the wire
At US G-Sibs, rates derivatives notionals the lowest since 2014
Banks cut interest rate swaps notionals by -18% year-on-year
Dollar OIS volumes hit $3.3trn high
Short-dated swaps dominated trading in last week of February
FCA: sign up to fallback protocol or face ‘serious questions’
UK regulator urges derivatives users to accept Isda swap fallbacks to ensure compliance with benchmark law
BoE to publish ‘golden source’ compounded Sonia index in July
UK to align with US in effort eliminate interest calculation mismatches and turbo-charge adoption
‘Rounding errors’ prompt EBRD to break with Sonia FRN norms
Index-friendly coupon structure touted as a template for future issuance in the UK market
€5trn of Eonia swaps mature after benchmark’s death
Almost 20% of derivatives notionals linked to retiring rate will expire post-2022
Margin exchange threshold relief: get out of jail free?
‘Game-changing’ IM exchange threshold relief may not be the phase five free pass it first appears
Chinese banks set for mass loan repricing
Options launch slated for February to help industry switch to new benchmark by August
RBS takes axe to NatWest Markets
Bank plans to slim trading operation to 10% of total RWAs
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
Isda plans February rerun of Libor pre-death trigger poll
Lack of consensus would add pre-cessation option to post-cessation protocol for bilateral swaps
Custody battle: competing tensions put IM prep in jeopardy
Conflicting custody interests and delayed docs call IM phase five readiness into question
Libor replacement jumble may hike hedging costs
Use of term rates and credit adjustments will create new basis risks that could be costly to hedge
EU insurers increase derivatives holdings
Greater interest rate swap values push up interconnectedness risk of insurance sector