Interest rate swaps
As rates rose, KeyBank unwound 94% of pay-fixed swaps
Sale of AFS hedges left book exposed throughout late 2022, much as at ill-fated SVB
CVA desks avoided re-hedging as Credit Suisse teetered
As credit spreads blew out, dealers opted not to adjust rates and FX risks
Tradeweb lodges MAT application for SOFR and Sonia swaps
If accepted by the CFTC, trades referencing the benchmarks must be traded on-Sef from June 1
US life insurers’ IR swaps usage hits $1.2trn in Q4 2022
Counterparty Radar: MassMutual is largest user of the instrument, finds our new analysis of industry filings
Did US hedge accounting rules contribute to SVB’s recklessness?
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
Revealed: where banks are (literally) warehousing their swaps
As derivatives notional grows, dealers experiment with novel storage solutions
Behnam comments fan JSCC hopes for US client clearing
Japan clearing exec welcomes CFTC chair’s pledge to keep discussing OTC clearing status for non-US houses
Putnam adds $18bn to interest rate swaps book
Counterparty Radar: Market for mutual funds and ETFs grew to $677 trillion in Q4 2022
Eurex-LCH basis hits new highs amid rates vol
10-year price gap spikes to 4bp as 30-year whipsaws; Eurex gauge indicates stable flow balance
EU banks need ‘billions’ in hedges to pass new NII test
Declines in net interest income can be hedged, but the markets may struggle to handle the demand
Taking the measure of CMS pricing
Bank of America quants propose comprehensive framework for modelling rate derivatives
Term SOFR trading ban remains as easing talks collapse
Fed working group resolute on interdealer trading restrictions despite looming capacity crunch
Swaps market braces for $60 trillion Libor conversion
Staggered timeline should smooth transition, but scale of the switch still presents challenges
StanChart is first non-Chinese bank to trade onshore CGB futures
China selects UK bank in first step to opening up its government bond futures market
MTS and WeMatch combine to launch euro swap MTF
New venue to start as interdealer but will soon take on Tradeweb in the dealer-to-client market
PBoC releases draft rules for Swap Connect
Foreign access to onshore CNY swaps limited to interbank bond market users, while Isda docs aren’t ruled out
Esma still waiting for Indian response to proposed CCP deal
EU regulators deny responsibility for dispute; will not initially enforce clearing ban
Crypto gets to grips with interest rate swaps
New derivatives provide synthetic access to staking yields and are being used in structured products
OTC trading platform of the year: Tradeweb
Risk Awards 2023: Traders prized the platform’s convenience and flexibility during last year’s market turbulence
Clearing house of the year: LCH
Risk Awards 2023: A member default and a spike in UK rates were handled with aplomb, while cleared volumes rose
The real deal: the challenge of real interest rates
Understanding real interest rate dynamics as inflation transitions is vital, say Crédit Agricole traders
ECB group sounds alarm on ‘sluggish’ Euribor
Money market participants question robustness of key eurozone rate after methodology changes
Canada approves term Corra rate
CARR restricts use cases but mulls allowing interdealer hedging of derivatives on new benchmark
Libor Act leaves door open for synthetic rate in US contracts
Absence of proposed limit protects borrowers from sky-high prime rate but may irk some investors