Interest rate swaps
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
Libor concerns prompt switch to Sonia swaps
Move by some UK LDI managers has steepened Sonia-Libor basis
JSCC to aid yen Libor transition with new OIS swaps
Market participants sceptical launch will boost liquidity enough to help move off yen Libor
Swaps users face tense wait for Euribor all-clear
Euro swaps market would have a year to replace rate if it fails to comply with EU benchmark rules
BoE to authorise EU CCPs ‘at 00:01’ on Brexit day
Central bank hopes plan to preserve access for EU CCPs will be reciprocated
Scrapping of Eonia revamp piles pressure on ECB
Dealers fear central bank's new rate won’t arrive in time to create swap curve by 2020
A copula approach to credit valuation adjustment for swaps under wrong-way risk
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
Non-EU banks consider updating benchmark fallbacks
Move follows Iosco call for contingency planning that mimics new EU standards
Game of Sefs: Tradeweb topples Bloomberg
Buy side’s desire for lighter-touch trading of interest rate swaps propels Tradeweb to top spot by volume
Platforms win small on Mifid day one
Some dealers stopped quoting bilaterally on smaller bond trades