Interest rate swaps
Fillip for credit-sensitive rates as Axi, Critr advance
IHS Markit makes benchmarks available for live products; Invesco appointed as Axi administrator
CBA’s IRRBB charge up 37% in volatile Q4
Volatility in Australian dollar swap rates the culprit for the increase
Banks rely on clients to police US Libor ban
Dealers say it’s “impossible” to verify end-user compliance with narrow Libor exceptions trade by trade
Market halts clearing shift to Eurex ahead of EU consultation
Participants hit ‘pause’ after proposed three-year equivalence extension for UK clearing houses
CCPs to review conversion blueprint ahead of SOFR switch
Rising rates vol expected to push US transition to the wire, but process likely to follow previous runs
Japan’s Tibor swap rate faces cessation
Administrator Refinitiv could end benchmark as soon as next week following withdrawal of contributors
Pimco’s Brazilian real deal swells its swaps portfolio
Counterparty Radar: Bond investor held an 83% market share of BRL swaps traded with mutual funds at Q3 2021
LSEG beefs up non-cleared ambitions with Quantile deal
Agreement to buy optimisation firm for £274m strengthens LCH’s FX foothold as SA-CCR bites
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
JSCC member received $3bn cash call in Q3
The CCP revised its estimate of the worst-case payment obligation that would have to be met should one of its participants collapse
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
At LCH, required IM rose over Q3
Required minimum demanded of clients increased at ForexClear, RepoClear and EquityClear, but fell at SwapClear
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
Interest rate swap activity surges ahead of Fed tightening
Counterparty Radar: Managers react to fastest rise in inflation in three decades
Esma calls for more powers over UK CCPs
Sources say Emir 3.0 could be on the way with Esma a big winner
Europe swap dealers eye London return post-Brexit
Proposed Mifid exemption paves way for BNP Paribas, SocGen and Deutsche to trade swaps on UK venues
You’ve got a Frandt: banks set to port EU clearing rules to UK
FCMs set to adhere to higher standard on commercial terms for swaps clients
FCA: dealer polls pose further Libor transition hurdle
Schooling Latter warns further work needed to migrate products that require dealer quotes when Libor ceases
CCPs’ successful Libor switch raises hopes for sterling move
Optimism follows hitch-free conversion of cleared yen, Swiss franc and euro Libor swaps to RFRs
Bumpy ride expected as Libor reaches end of road
Heavy reliance on contractual fallbacks leaves market facing series of post-cessation risks
LCH to clear BSBY swaps from November 29
Addition of much-maligned benchmark follows methodology enhancements and jump in SOFR trading
Loan markets call for clarity on scope of US Libor ban
Regulators must address “grey areas” in uncommitted facilities, urge participants
SOR liquidity drought complicates SGD benchmark shift
Asia Risk Congress: SMBC exec says exiting SOR trades is becoming harder as Sora liquidity surges
Eurex turns to Asia in euro swaps grab
Asia Risk Congress: German clearing house urges Asian firms to shift euro swaps clearing to EU