Interest rate swaps
Why Asian firms expect a major systems and data overhaul
In this feature, Bing Li, head of Asia‑Pacific, and Steffan Tsilimos, global head of interest rate derivatives products at Bloomberg, explore the implications of the Libor transition on the Asia markets and the broader market impact of the transition
Swaps data: initial margin soars in Q1 2020
Model procyclicality drives wide variation in CCP IM hikes through Covid-19 volatility, writes Amir Khwaja of ClarusFT
Fourteen margin breaches at CME’s swap unit in Q1
The peak breach was almost $80 million in size
Bruised, not broken: execs say Libor switch on track despite Covid
Compressed timeline for transition may leave smaller firms struggling to meet end-2021 deadline
Twin-track solution for ‘tough legacy’ Libor falls flat
Critics deplore lack of detail in UK taskforce's call for parallel legal fix and synthetic rate
Ice swap rate adds safety net with Tradeweb quotes
Inclusion of dealer-to-client prices will boost publication rate in stress periods, IBA claims
Swaptions compensation method divides market
US and European firms back redress payments, but disagree over how they would work
LCH debuts central clearing for Sora derivatives
CCP expects surge in volumes after clearing first trade linked to Singapore’s risk-free rate
Swaps data: record trading volumes in March
CDS activity doubles through Covid-19 turbulence, while US interest rate swap trading marks new high
Sonia proves its mettle through Covid-19 crisis
New risk-free rate gaining ground at Libor’s expense
LCH, HKEX to clear swaps linked to Asia overnight rates
Clearing houses ready launch of SORA and Honia swaps, but timing is uncertain
Electronic bond trading stalled in volatile markets
Bid/offer spreads on bond platforms spiked in March and the buy side struggled to trade
Sonia term rate contenders tested by market mayhem
Regulator-proposed quote approach falters as dealers pull swap prices from screens
Short-dated sterling swap volumes surge
On April 22, traded volumes were four times the two-year average
Eurex seeks Hong Kong clearing licence
Bourse has Greater China in its sights after Japan and Singapore licences approved
Discounting delay risks swaptions mess – Eurex
Swaptions hurdles seen as yet another reason to keep June €STR switch date
Libor webinar playback: spotlight on derivatives
Panellists from Deutsche Bank, LCH, Numerix and Tradeweb on transition timelines, volatility and discounting
Virus turmoil threatens swaps discounting switch
Clearing houses expect deadlines to be met, but swaps users are not so sure
Corporates sprint to lock in low rates
Dealers are seeing increased demand for interest rate hedges despite higher execution costs
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
Swaps data: cleared volumes drop for all markets – except FX
Smaller CCPs make market share gains in a quarter of double-digit declines for rates and credit
Fed funds swaptions offer SOFR alternative
Investors dry-run systems using familiar overnight rate, as markets wait for SOFR liquidity to build