Swaps
Dealers slam ‘nonsensical’ treatment of forex derivatives
Proposal on US swap dealer threshold rekindles debate on definition of NDFs and window forwards
The swap market model with local stochastic volatility
An easy to calibrate and accurate swap market model is proposed
CPI bonds set for growth, say dealers
Double issuance sparks hopes for inflation-linked swap market
Swap spreads halve as dealers fight for corporate market share
US bank push, rate movements and evolving market practice driving spreads to “suicidal” levels
Gottex chief on expansion plans amid industry disruption
With brokers facing headwinds, Swiss firm doubles down on Scandi niche
Citi fastest growing FCM; Credit Suisse loses ground – CFTC data
Citi grows client margin 36% in year to end-April, Credit Suisse shrinks 16%
G-Sib swap portfolios reveal transatlantic divide
EU banks record 16% fall in non-cleared swaps, while US dealers see 9% growth
EU parliament’s moratorium plan billed ‘recipe for bank run’
Proposal allows pre-resolution stay as well as one during resolution provided bank reopens in between
Brexit: banks consider four ways to move swaps en masse
Statutory business transfers in frame as bilateral novation may take too long
Swaps users to get three choices for synthetic Libor
Consultation due next month as industry tries to avoid big losses on benchmark’s death
Number of banks per RFQ jumps in EU, posing risk to prices
Some requests for quote are sent to over 20 dealers, raising worries about information leakage
Swaps market off pace for IM rules – Isda survey
Participants want to see more standardisation in collateral and custodial contracts
EU shelves limits on structural FX hedge exemptions
Basel rethink on FRTB capital ratio hedging prompts fresh questions over EU implementation
FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
Power to the people: US bourse bets on retail rush into swaps
Eris Exchange hopes retail access to its swap futures will usher in new era of swaps for all
Swaps basis leaps as LDI funds prep for Libor’s death
Gap between 30-year Libor and Sonia swaps surges 36% in three weeks
JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
Brexit: banks take the ‘no’ out of novations
Swaps clauses stop end-users blocking counterparty switch, making it easier to move trades to EU affiliates
Cash no longer king in European swaptions
Barclays executives explore weaknesses of current pricing formulas for cash-settled swaptions
How Asia’s structured products dodged equities sell-off
Dealers deserve praise for improved structures, greater diversification and better risk transfer
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
What causes forex correlation swaps to be mispriced?
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
VM rules sound death knell for forex swaps in Europe
Market participants claim instrument was a “mythical creature” that never really existed