Swaps
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
Euro inflation CCP basis expected as Eurex taps buy side
First crop of Eurex inflation swaps trade flat to LCH, but traders predict four-basis point difference as activity builds
Ex-Isda risk chief: ditch gross notional thresholds for clearing
10 years on, David Murphy says mandate should be rebased to exempt less risky firms
IBA launches Sonia Ice swap rate
Test version of key benchmark is latest phase in switch from Libor to sterling risk-free rate
Libor countdown webinar series – US Dollar
In this webinar, a panel of industry professionals discusses outstanding issues associated with transitioning financial products tied to USD Libor and remaining concerns over the SOFR
Number of SOFR swaps traded hits new peak
Over 220 swaps struck for the first time since trading began
FX swap volumes set to rise on China bond index inclusion
Traders expect greater use of FX derivatives if FTSE Russell adds bonds to WGBI this week
Sterling swap traders brace for new Sonia switch deadline
Covid delays force regulators to set new date for interdealer swap market to price off RFR
Systemic US banks crushed cleared OTC notionals in Q2
Outstanding amounts fall 12% quarter-on-quarter
Will the exit price be right in new Isda docs?
Industry body is updating unloved procedure for valuing terminated swaps
UK banks’ rate swaps books continued to grow in Q2
Interest rate swap exposures hit £4.42 trillion
Benchmark reform goes non-linear
Terminating Libor will bring great challenges to the pricing of non-linear rate products
A bridge too far: EBA swap stay to spur mass repapering?
Industry scrambles to avoid duplicating BRRD close-out contract changes across four jurisdictions
UK banks’ swaps exposures to overseas firms edge lower
Total net derivatives assets fell 4% over three months to end-June
The FX swaps client clearing comeback
Chatter about the service is picking up again, but significant hurdles remain
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
OTC swaps exposures of systemic US banks fell back in Q2
Aggregate current credit exposures to hedge funds falls 42% quarter on quarter
Swaption compensation consensus proves elusive
ECB-sponsored recommendations fail to rally market behind compensation exchange solution
Non-cleared euro swaps market wrestles with discount rate switch
Buy-siders prepare for valuation change from move to €STR
FX swaps platform aims to cut out the banks – but not entirely
Peer-to-peer newcomer FX HedgePool targets asset managers’ month-end hedging activity
Singapore to end Sibor by 2024
Multi-rate approach ditched after failed efforts to enhance Sibor
FX swaps clearing redux
SA-CCR could unleash the potential of clearing, and may ignite some big changes
SA-CCR adoption may spur wider FX swaps clearing
With up to 90% lower exposures on offer, dealers say capital benefits could outweigh margin costs
Beware of cliff edge in Libor fallbacks
Derivatives users may see a sudden change in the value of payoffs when Libor ends, Coremont analysts write