Interest rate derivatives
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
At Apple, derivatives notionals top $178bn
Credit loss amounts rocket on rate and currency fluctuations
LCH targets hardwired pre-cessation triggers
Proposal aims to align transfer pricing for cleared and bilateral markets in the event of split on ‘zombie Libor’ triggers
New pre-cessation poll likely as FCA quells zombie Libor fears
Minimal non-representative lifespan opens door for rerun of Isda trigger consultation
Giant £174bn Sonia swaps trading day may be biggest ever
Mammoth swaps focus on upcoming announcements from the Bank of England’s Monetary Policy Committee
EU compounding confusion creates headaches for banks
With the fallback possibly illegal in some EU states, loan system updates may become more complicated
Lloyds plans £4bn Sonia shift for covered bond extension clause
Consent solicitation aims to flip one-year Libor-linked grace period on fixed instruments to RFR
Swap books swell at UK banks in Q3
Gross derivatives assets with non-bank financial firms up 39%
Sonia users push for official in-arrears rate
US Fed proposal for compounded SOFR index leads to calls for endorsement of NatWest’s Sonia calculation
US firms must rerun non-cleared margin test in March
Proposed CFTC calculation delay offers in-scope firms chance to trade out of phase five compliance
Hedging rate exotics, Bergomi-style
New paper by Nomura quant applies volatility model used in equities to exotic rate hedging
EU derivatives markets highly concentrated
CCPs hold 41% of interest rate derivatives notional exposures
Euribor fallbacks could hit thin legal ice
In Italy and Germany, compound interest – the foundation of Euribor fallbacks – is actually illegal
Rate options and futures volumes plummet $10trn in Q3
Open interest in short-term options collapses 10% quarter on quarter
Why Europe’s markets might need Mifid III
Lawmakers leaning towards small-scale review, others call for fuller rewrite
Isda to poll Libor users on pre-cessation triggers, again
Trade body seeks clarity on zombie lifespan and CCP response as it bows to regulatory pressure
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2020: US bank leads the way on SOFR, and gets creative to facilitate US insurer hedging
Derivatives house of the year: Bank of America
Risk Awards 2020: New home in Paris has brought more European clients to the Street’s most consistent markets franchise
First all-RFR cross-currency swap traded
Goldman Sachs and Morgan Stanley strike landmark €STR v SOFR trade