Interest rate swaps
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
BAML replaces head of global rates
Gupta and Stanley named co-heads as Roberts exits
Libor transition raises basis risk fear
Shift to secured benchmark could cause dislocation between bank funding and lending rates
EIB shrugs off term RFR worries with Sonia bond plan
Issuer to use daily compounded, backward-looking rate with time lag for sterling benchmark
trueEX sues 11 banks over swaps ‘conspiracy’
Platform alleges market-makers acted to preserve dominance of bank-owned Tradeweb
Swaps data: anatomy of a wild week in dollar swaps
Chaotic Italian politics jolted rates markets – including US dollar interest rate swaps, writes Amir Khwaja of Clarus FT
UK derivatives market continues to shrink
Gross market values lowest since December 2007
Planned sale prompts hard look at post-trade firms
Plans to sell MarkitServ fuel warnings about middleware vendors’ future
EU close to granting swaps-trading equivalence to Singapore
Planned MAS trading obligation would otherwise seal off local traders from global liquidity
Libor expert: don’t rely on forward RFR rates for transition
Swaps users should embrace backward-looking risk-free rates instead, says chair of UK working group
Curve dynamics with artificial neural networks
Artificial neural networks can replace PCA for yield curves analysis
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