Interest rate swaps
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
Philippines readies new swaps benchmark
Philippine peso rates market has been without an interest rate benchmark since June 2023
Westpac fined over interest rate swap pre-hedging
Court finds against Australian bank for “unconscionable” behaviour, amid calls for a broader guidance around the practice
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
Undeterred, hedge funds bet on euro swap steepeners
Expected rate cuts and pension reforms are driving steepener flows, but large pension funds may not be finished hedging at the long end
Polish benchmark transition hits new snag
Compounded index suspended over data errors as Wibor extension reopens successor debate
LCH-JSCC basis turns negative on BoJ policy shift
Changes in hedge fund positioning at LCH seen as driver of inversion on 20-year swaps
Term SOFR derivatives creep into US fund holdings
Global Atlantic shows sizeable swaps position against the new benchmark as other managers ease into trading
Pimco’s interest rate swaps book shrinks 21% in Q3
Counterparty Radar: BlackRock and Capital Group also trim positions to drive down swaps usage by US mutual funds
CME member contributions up 11%
Default fund for F&O clearing unit hits record size driving CCP’s skin-in-the game share to all-time low
Banxico waiver prompts rethink on benchmark transition plans
Dealers weigh basis risk against longer-dated swap hedges as CME consults on new conversion plan
Industry confused by EU’s ‘bingo card’ clearing rules
Uncertainty over definition of representative trades in Emir active account requirement
MTS shuts euro swap venue
Would-be challenger to Tradeweb and Bloomberg is said to have closed less than ten months after launch
Dutch pension reforms face political uncertainty
Elections cast doubt on pension funds’ ongoing transition to defined contribution structure
Euro RFR group shuts down amid ongoing benchmark uncertainty
Working group calls time on transition despite split opinion on Euribor’s long-term future
PFZW’s payout to pensioners jolts euro swap curve
Dutch retirement fund’s announcement of unexpectedly large indexation takes market by surprise
Three’s a crowd? Eurex and Ice battle CME for €STR trading
Chasing exchanges represent 75% of trading volume, 28% of open interest in first weeks of push
Swap dealers look internally to ease SOFR basis headaches
Traders are using their own banking units as a new outlet for reducing SOFR-versus-term SOFR risk
Buy-siders bemoan ‘dark arts’ of corporate bond CSA discounting
Litany of pricing variables fuel wide differences in how dealers calculate discount rates for collateral agreements
EU and UK to rework flawed identifiers for swaps transparency
European Commission and FCA both plan to consult on Mifir replacement for unpopular Isins
Industry fears backdoor thresholds in active accounts debate
Confidential papers suggest a compromise, but requirements seen as too ambiguous
US life insurers’ interest rate swaps usage surged in Q2
Counterparty Radar: John Hancock, Principal Financial expanded books by more than half
ECB wading into active account dispute on clearing – industry
Industry lobbyists decry secretive (allegedly ECB) non-paper that recommends high minimum thresholds
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years