Interest rate derivatives
Europe’s new IRRBB test: the riddle with no answer
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
Eurex clearing chief calls for active account carve-outs
Isda AGM: Müller says EU clearing thresholds should exempt market-making and US client trades
Easing of trading curbs is no quick fix for term SOFR swaps
ARRC’s new guidelines will do little to improve liquidity, but may keep a lid on spiralling basis
Fed’s Bowman confirms interdealer term SOFR ban
Isda AGM: Further softening ruled out after April reprieve lifts curbs on term SOFR basis swaps
Dutch pension funds brace for hedging revamp
Planned legislative changes set to reduce long-end hedging needs, but market divided on curve impact
BME in talks with global banks over euro swaps clearing
SIX Group's Spanish CCP wants to establish itself as an alternative venue for onshore clearing by 2025
Swap Connect set to launch within weeks
After final rules were published last week, sources suggest CNY swap scheme could go live by May 15
Initial margin requirements for IR swaps hit record $325bn
CME, Eurex and LCH report aggregate 10% rise in month marred by most severe crisis since 2008
CVA desks avoided re-hedging as Credit Suisse teetered
As credit spreads blew out, dealers opted not to adjust rates and FX risks
US life insurers’ IR swaps usage hits $1.2trn in Q4 2022
Counterparty Radar: MassMutual is largest user of the instrument, finds our new analysis of industry filings
Behnam comments fan JSCC hopes for US client clearing
Japan clearing exec welcomes CFTC chair’s pledge to keep discussing OTC clearing status for non-US houses
Putnam adds $18bn to interest rate swaps book
Counterparty Radar: Market for mutual funds and ETFs grew to $677 trillion in Q4 2022
Eurex-LCH basis hits new highs amid rates vol
10-year price gap spikes to 4bp as 30-year whipsaws; Eurex gauge indicates stable flow balance
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
Strict term SOFR trading rules ‘permanent’, says Fed’s Bowman
Official says restrictions on use of term SOFR swaps “should not be expected to change”
Term SOFR trading ban remains as easing talks collapse
Fed working group resolute on interdealer trading restrictions despite looming capacity crunch
Swaps market braces for $60 trillion Libor conversion
Staggered timeline should smooth transition, but scale of the switch still presents challenges
MTS and WeMatch combine to launch euro swap MTF
New venue to start as interdealer but will soon take on Tradeweb in the dealer-to-client market
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
PBoC releases draft rules for Swap Connect
Foreign access to onshore CNY swaps limited to interbank bond market users, while Isda docs aren’t ruled out
Crypto gets to grips with interest rate swaps
New derivatives provide synthetic access to staking yields and are being used in structured products
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
The real deal: the challenge of real interest rates
Understanding real interest rate dynamics as inflation transitions is vital, say Crédit Agricole traders
ECB group sounds alarm on ‘sluggish’ Euribor
Money market participants question robustness of key eurozone rate after methodology changes