Sterling
Cable basis set to shrink as pension buyouts dwindle
BoE rate cuts and tightening US credit spreads expected to further normalise the sterling-US dollar cross-currency basis
Sterling interest rate ETDs plummet 28% in Q2
Investors cut open interest in futures and options contracts as crises piled up
UK pensions hit with £100m margin calls as gilts and sterling slide
At least three LDI managers request emergency capital as others consider unwinds to avoid default
Corporates boost FX hedges as US dollar surges
Banks see more business, but also rising exposures, from corporates’ FX decision-making
Barclays, HSBC held $12trn of Libor swaps on eve of cessation
Both banks made significant progress over 2021, but more remains to be done
Legacy Libor swaptions face day of reckoning
Holders of physically settled swaptions in sterling and yen must switch to new risk-free rates, but it’s not simple
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
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
Inflation swap stampede stirs fears of lopsided market
Soaring demand for inflation hedges leaves dealers struggling to balance exposure
NatWest gets VAR model approval as transition from Libor continues
The updated model is expected to reverse a £1.5bn increase in markets RWAs next quarter
Market fragmentation – The impacts of multiple rates and conventions
A forum of industry leaders discusses key developments in benchmark reform, and the strategic, operational and technological challenges involved in Libor transition
Sterling swaptions edge towards Sonia ahead of July deadline
Risk-free successor jumps to almost half non-linear activity, up from 20% in April
UK funds fall out of love with sterling swaps
Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds
Industry group backs wider use of term Sonia in derivatives
Swaps used to hedge tough legacy products and some new loans could reference a forward rate
Legacy benchmark risk – A robust and effective conversion mechanism
With an uncertain future for interest rate benchmarks, TriOptima has developed its triReduce Benchmark Conversion functionality, providing support to customers transitioning their over-the-counter swaps portfolios to these alternative benchmarks
Brexit drives swaps trading to US platforms
Lack of equivalence forces dealers to shift euro and sterling swaps out of European and UK venues
UK inflation reform date to be set in November
RPI switch could happen as early as 2025 to reduce government payouts on gilt linkers, experts suggest
IBA launches Sonia Ice swap rate
Test version of key benchmark is latest phase in switch from Libor to sterling risk-free rate
UK regulator rules out extending Libor deadline
Despite Covid disorder, FCA will not compel banks to submit Libor quotes after 2021