Swaps
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
SEC may allow wider cross-margining of single-name CDS
Banks want to cross-margin single-name CDS against options, indexes and cash products
Libor-in-arrears swaps face unwinds on benchmark death
Backward-looking fallbacks are incompatible with the product, which relies on forward rates
The biggest stories from Isda’s 2019 AGM
From new uses of SOFR to non-modellable risk factors in Asia – here are the 10 best stories from the conference
MetLife executes $250 million SOFR-linked repo
Isda AGM: US insurer's hedging chief says systems issues hindering its use of derivatives, however
LCH discounting switch tipped to help SOFR swap market
Isda AGM: Using SOFR discounting for Libor swaps will help build liquidity, say market participants
EU permissions regimes could reduce no-deal risks
Isda AGM: UK firms could still trade with EU clients on exit, but solutions are complex and temporary
High costs limiting CNY corporate swaps market
Isda AGM: Demand growing but high capital costs burdening banks
Swap book values of US G-Sibs dropped in 2018
Settled-to-market technique responsible for some deductions year-on-year
Swaps data: cleared volumes and CCP market share
Data shows CME and Eurex growing faster than LCH Swapclear
Dealers consider ditching FRAs prior to Libor’s death
Forward rate agreements won’t work with backward-looking rates; banks explore single period swaps instead
CFTC paves way for no-deal Brexit swaps transfers
Affiliate transfers would not trigger US margin rules if UK crashes out of EU without a deal
Dealers seek clarity on buy-side IM relief
Hundreds of buy-side firms may still need to calculate margin and get models approved
Cleared swaps surged among US banks in 2018
Cleared swaps accounted for 49% of notionals at end-2018
Giancarlo admits he may not finish Sef rules
CFTC chairman says his successor may have to finish regulation
Big US banks dropped $24trn of OTC notionals at year-end
Total notionals reported by the eight US G-Sibs stood at $196.3 trillion at end-December
The low flow blow
Traders can’t make flow rates business hot again, but their colleagues in tech and ops might be able to
Swaps data: SOFR swaps slip, futures flip
After a banner month for the young OTC instrument in January, volumes then halved
Mizuho reveals $270m CVA loss
Further losses may be reported as bank refines its methodology, sources say
Dealers suffer in euro rates desert
Analysis shows collapse in swap and bond bid/offer spreads, as traders say business is “unsustainable”
CDSs get subjective
Legal certainty loses out to commercial objectives in race to fix manufactured defaults
Euro swap bid/offers edge to decade lows
Mifid II and extreme competition raise profitability concerns for euro rates market-makers
Shallow liquidity threatens Saron momentum
Swaps on Swiss Libor successor gain traction, but lack of cash products poses liquidity hurdle
Swaps market heading for Libor fallbacks clash
Euro market goes own way on question of how to replace term Ibors with overnight RFRs