Swaps
Game of Sefs: Tradeweb topples Bloomberg
Buy side’s desire for lighter-touch trading of interest rate swaps propels Tradeweb to top spot by volume
Clearing conundrum – Forging a solution for the bilateral market
Central clearing has had a beneficial effect on the over‑the‑counter derivatives market, but for some products the road to a cleared model has not been smooth. Capital, operational and margin costs of the non-cleared market have increased, while…
LCH and Eurex extend new swap VM treatment
Three US banks used method to cut swaps assets by more than $300bn in third quarter
Swaps data: forex options – candidate for a clearing mandate?
Volume stats reveal a large vanilla market and much smaller trade in barriers
Dealers warn of FRTB impact on funding programmes
EMTNs issued by treasury functions may need to be moved to trading desk because of new market risk rules
Oil & products house of the year, Asia: BOCI
Energy Risk Asia Awards, 2017: Established client base and strong product offering give Chinese bank edge in domestic oil markets
Swaps data: CCP and Sef volumes still growing
First three quarters show strong growth in interest rate swaps, forex NDFs and index CDSs
Q&A: Giancarlo stresses importance of international relations
EU regulatory inexperience causes problems for CFTC chairman
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact
Quintenz: former CFTC leadership failed commodities end-users
Commissioner says regulator “poorly defined populations and risk” under Obama administration
Banks discount legacy swaps as ring-fencing looms
Expectation of higher funding costs post ring-fencing pushes UK banks to offload some trades faster
Totem extends pricing data to 10-year repos
IHS Markit service set to help banks with funding and swaps valuation concerns
Compliance fears slow use of synthetic swaps to cut IM
Dealers want firmer guidance on whether technique to slash margin costs contravenes clearing mandate
Final US position limits rule will take ‘at least a year’
CFTC expected to draft a narrow list of contracts in scope
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
The price is still wrong: banks tackle bond CSA discounting
Diverging Eonia and European repo rates spur banks to look at valuations of swaps with bond collateral
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
Bounding Bermudans
Thomas Roos derives model-independent bounds for amortising and accreting Bermudan swaptions
Duffie: CCPs should prep to quash Sifi swap termination stays
Clearing houses need criteria for overriding stays on swap terminations, writes Darrell Duffie
Forex swap margin treatment uncertain ahead of VM deadline
With one month to go, market participants are still unsure how to treat foreign exchange derivatives
FVA: off the mark
With adjustments to increase, Darrell Duffie says dealers should improve weak valuation practices
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Change is the only constant in pricing swaps
Regulation is having unexpected effects on derivatives unwinds
Leverage ratio blamed for big swap unwind charges
Buy-siders complain of 'ridiculous' costs to exit trades