Swaps
Yen swaps users stuck in clearing Catch-22
Lack of access to client clearing at JSCC poses problems for US buyers of Japanese government bonds
Tighter RMB rates basis brings new hedging opportunities
Increasing alignment between CNH and CNY benchmarks opens door to more cross-currency hedging by foreign lenders
Trading VAR at UBS peaked after Archegos blow-up
Swiss bank still posted a fall in market RWAs quarter on quarter
Esma plan ‘won’t help’ fix Mifid swaps data problem
Dealers say proposal to force disclosure of all big-bank OTC derivatives trades won’t improve data
Drax commits to ESG-linked FX derivative targets with UK banks
Renewable energy supplier applies long-term ESG KPIs to short-term FX trades with Barclays and NatWest
Euro swaps clearing showdown pits banks against Brussels
Forcing swaps clearing to Frankfurt would play into hands of US rivals, say European dealers
Government bond swaptions and how they might work
Payoffs based on bond yields instead of swap rates could offer new hedging tool, argue Crédit Agricole execs
Traders see easy switch off Libor in Swiss market at year-end
Saron swaps trading still slow but traders say liquidity is rising and see no hurdles to transition
‘Crypto Dad’ Giancarlo says DLT could have aided in Archegos
Former CFTC chair says managing collateral by distributed ledger technology would enable better oversight of risks
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
Market dispels fears over USD Libor cross-currency swap shift
Traders confident market convention will shift to RFRs on both legs of deals
US stumbles in pursuit of term SOFR
Flaky swaps liquidity sees June 2021 target slip; CME claims indicative settings already meet international standards
ECB: don’t expect equivalence extension for UK CCPs
Central bank official says EC likely to stick to June 2022 deadline
Derivatives notionals at Wells Fargo, BofA fell in 2020
Written options notionals dropped 12% in aggregate
Fed group: SOFR term rate unlikely in 2021
ARRC chair says use case of a forward-looking benchmark would be limited
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
BoE to consult on Sonia clearing mandate
Long-dated Sonia swaps set to lose clearing exemption as liquidity shifts from Libor
New risk-free rate in Korea gets industry thumbs-up
Majority of 26-member benchmark panel back “credible” repo-based rate
SABR smiles for RFR caplets
The SABR model for volatility is adapted to price risk-free rate caplets
Clearing house of the year: Eurex Clearing
Risk Awards 2021: Clearer’s Prisma margin model proves its mettle in year of market tumult
Libor Risk – Quarterly report Q4 2020
Exactly when Libor’s regulator will sign the official death warrant for the most popular US dollar settings is now a cause of huge uncertainty. It’s also a matter of huge significance
Why US dollar Libor spreads may be mispriced
Fallback spreads for all currencies could be fixed together, even if some benchmarks survive past 2021
European regulators issue Brexit relief for UK pension funds
Some EU watchdogs are not enforcing mandatory clearing for trades between region’s banks and UK pension schemes
Multi-curve Cheyette-style models with lower bounds on tenor basis spreads
A solution for a no-arbitrage condition in Cheyette-style models is proposed