Interest rate swaps
Buy side using compression tools to create, not destroy
Custom-trading services are booming at Bloomberg and Tradeweb, but not for the reasons intended
RBA’s Debelle warns against buy-side Libor complacency
Central banker also says Australian dollar swaps may gradually migrate to cash rate if other Ibors end
Euribor can stay if reforms succeed – ECB’s Holthausen
Regulator also sees no clear favourite in array of Ibor fallback approaches
Swaps users to get three choices for synthetic Libor
Consultation due next month as industry tries to avoid big losses on benchmark’s death
Euro swaps market faces loss of key basis hedge
New Eonia/Euribor swaps will be barred from 2020 if Eonia fails to comply with EU benchmark rules
Swaps data: the allure of liquidity
Liquidity in OTC trading concentrates at one venue, or splits across three, writes Amir Khwaja of Clarus FT
Compression firms vie to ease Libor switch
Quantile and TriOptima launching services to tear up Libor swaps and replace with new rates
Mifid data: hard to access, hard to use
Risk.net research shows four of 12 APAs and trading venues only provide information via other vendors
Vol virus: how a CCP basis leapt from swaps to swaptions
A clearing house basis has opened up between JSCC and LCH on yen swaptions – despite neither clearing the product
Libor death threatens to blow hole in hedges
Isda AGM: BlackRock, Fed stress need for fallbacks to marry up across rates universe
Broker hid yen swaptions basis after trader backlash
Japan’s Totan had been first to show volatility basis; sources speculate traders wanted to avoid re-marking books
LCH-JSCC basis drops as hedge funds arrive
Capula and Rokos Capital among funds to have gained access to JSCC in recent months
Power to the people: US bourse bets on retail rush into swaps
Eris Exchange hopes retail access to its swap futures will usher in new era of swaps for all
LCH and CME to start clearing SOFR swaps in third quarter
Scramble to offer clearing aimed at cutting clients’ margin and capital costs
Isins for swaps need ‘complete rethink’, say platforms
Three trading venues say Mifid II transparency objectives diminished by identifier choice
US swap rate failed during volatility rout
The Ice swap rate was not published on February 6 due to a lack of electronic prices during equity turmoil
FCA: Libor contract changes shouldn’t trigger margin rules
Moving from Libor to an RFR shouldn’t force margin requirement on legacy non-cleared trades, says UK regulator
Swaps data: a Mifid-shaped hole
Data shows strong growth in US dollar rate swaps, but global picture is incomplete, says Amir Khwaja of Clarus FT
How fintech could reboot Libor
Polsinelli’s Rutenberg says blockchain technology and ‘Libor currency’ could boost submission incentives and make process more secure
Swaps basis leaps as LDI funds prep for Libor’s death
Gap between 30-year Libor and Sonia swaps surges 36% in three weeks
US swap trading overhaul may reinforce market split, users warn
New rules on trade execution likely to halt any unifying shift of liquidity to order books
JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
Tullett Prebon and the mystery Clob
How tpSef quietly kept voice broking alive in a regime designed for e-trading