Interest rate derivatives
For corporates, Sora seems to be the hardest word
Singapore is facing challenges adapting to new overnight lending rate, but progress is being made
Russia sanctions throw derivatives market into disarray
Lawyers say western banks face illegality terminations; industry groups plan deliverable ruble workaround
Ukraine invasion clouds rates consensus trades
“Old school” US macro trades are back in fashion, but geopolitical risks add uncertainty
GM Financial’s derivatives fall 72% in value in 2021
A steeper forward interest rate curve paired with an appreciating dollar erased most of the gains booked by the carmaker’s lending arm in 2020
Fillip for credit-sensitive rates as Axi, Critr advance
IHS Markit makes benchmarks available for live products; Invesco appointed as Axi administrator
Risk solutions house of the year: Santander Corporate & Investment Banking
Risk Awards 2022: Multi-jurisdiction transactions saw the bank solve three-way currency conundrum and take on litigation risk
Interest rate derivatives house of the year: Bank of America
Risk Awards 2022: Bank ducks US vol problems that plagued peers, while continuing European expansion
Banks rely on clients to police US Libor ban
Dealers say it’s “impossible” to verify end-user compliance with narrow Libor exceptions trade by trade
ING’s interest rate VAR spiked in Q4
Potential-loss indicator for rates trading peaked at €20 million
CCPs to review conversion blueprint ahead of SOFR switch
Rising rates vol expected to push US transition to the wire, but process likely to follow previous runs
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
EU’s IM model validation rules may put Simm in jeopardy
Draft RTS creates validation hurdles and cross-border conflicts, industry warns
UK bank derivatives exposures rose by £38bn in Q3
FX contracts drove the overall increase
‘SOFR First’ for Eurodollars downgraded
US dollar Libor transition initiative for listed derivatives comes up short
Libor battles aren’t over, but the war is won
Transition will shift into new phase next year, leaving systemic threats behind
Interest rate ETD volumes drop in Q3
Shorter-dated contracts led the way, falling 9% quarter on quarter
How derivatives management is changing post‑Covid‑19
Risk.net explores five derivatives trading themes discussed by experts in a recent webinar sponsored by Numerix
Dealers warm to SOFR swaptions but buy side lags
Rate accounted for nearly half of new notional last week, but operational issues slow end-user uptake
LCH to clear BSBY swaps from November 29
Addition of much-maligned benchmark follows methodology enhancements and jump in SOFR trading
Loan markets call for clarity on scope of US Libor ban
Regulators must address “grey areas” in uncommitted facilities, urge participants
OTC derivatives amount rose 5% in H1
While notional amounts were up from end-2020, gross market values fell 20% across all instruments tracked by the BIS