Swaps
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
Brexit novations ‘on hold’ to gain reg relief
Conditional relief would subject early swaps movers to clearing and margin rules
Giancarlo’s last stand: the race to complete Sef reforms
Part of flagship proposals could be left to his successor, putting their fate in doubt
LCH plans 2020 switch to SOFR discounting
Users opt for one-step switch to new US dollar regime, as long as CCP cooks up compensation scheme
UBS wins approval for €32bn Brexit swaps transfer
Decision tests boundaries of deposit-taking element, after Barclays had part of its earlier transfer rejected
Caveats and slapped wrists in Barclays’ Brexit swaps switch
Judge blocks transfer of some trades from non-deposit taking entity and slams “unrealistic” timeline
Citi grows US swaps margin share in 2018
Citi remains the largest FCM, with a 27.5% share of total required client margin
Wind firming caps found better than swaps at reducing risk
Wind firming deals claim to address intermittency and stabilise renewable generator cashflow, but how effective are they?
Euro term rate likely to be OIS-based, says RFR group chair
Committed quotes “the most viable methodology”, but some insist rate creates new risks
NatWest kick-starts Brexit swaps transfer
Bank follows Barclays and UBS with plans to continue serving EU clients as ‘no-deal’ looms
A buy-side swaps order book – with a difference
First client joins Trad-X Clob as dealers get nervy about large-scale RFQs
Doing well by doing good
Drug approval swaps and megafunds can channel capital towards world’s greatest problems, writes MIT’s Lo
Two banks begin moving swaps out of London, pre-Brexit
Part VII transfers underway as Barclays, UBS seek ‘big bang’ trade moves; clients warned of legal, regulatory questions
Goldman's OTC client margin jumps
FCM client funds increase 36% year-on-year – the fastest growth among leading US clearers
Growing an institutional footprint in Asia’s ETF market
Hong Kong Exchanges and Clearing (HKEX) explores the burgeoning impact of institutional investors in Asia’s exchange‑traded funds (ETFs) market – which is demonstrating the potential to establish itself as a global force – with a focus on the rapid…
MVA: Forecasting initial margin for client trades and dynamic hedges
In its latest margin survey, the International Swaps and Derivatives Association reported that initial margin (IM) collected by the top 20 firms increased by 22% to $130.6 billion at the end of 2017. As new transactions become subject to IM requirements,…
Choosing the right model for non-cleared OTC margining
When the final phase of the swaps market’s new margining regime takes effect in 2020, hundreds – possibly thousands – of buy-side firms will be hit by complex margin requirements.
Swaps data: cleared vs non-cleared margin
Growing margin burden for non-cleared swaps means cleared margin is likely to grow further, argues Amir Khwaja
CFTC finds harmony harder than it sounds
James Schwartz and Chrys Carey, of counsels at Morrison & Foerster, explore the impact of a recent Commodity Futures Trading Commission white paper – including how its author’s suggestions would affect cross-jurisdictional application of its regulations …
Knocking out corridor variance
Amine Ahallal and Olaf Torne add a knock-out barrier to the standard corridor variance swap
Equity vol strategies get defensive
Floored short funding legs and long vega worked in latest US selloff, dealers claim
The initial margin challenge – Why the bang just got bigger
With uncertainty abounding as the industry heads into the final phases of implementation of the uncleared margin rules (UMR), Jean‑Paul Botha, delivery lead of financial trade documentation at Thomson Reuters Legal Managed Services, explores the…
China’s regulatory shake-up offers hope on close-out netting
New merged body will draft netting rules, with signoff from central bank, sources say