Swaps
Derivatives notionals at Wells Fargo, BofA fell in 2020
Written options notionals dropped 12% in aggregate
Fed group: SOFR term rate unlikely in 2021
ARRC chair says use case of a forward-looking benchmark would be limited
CDS trading remains stubbornly human
Buy-siders sceptical of benefits of algo execution for credit derivatives
BoE to consult on Sonia clearing mandate
Long-dated Sonia swaps set to lose clearing exemption as liquidity shifts from Libor
New risk-free rate in Korea gets industry thumbs-up
Majority of 26-member benchmark panel back “credible” repo-based rate
SABR smiles for RFR caplets
The SABR model for volatility is adapted to price risk-free rate caplets
Clearing house of the year: Eurex Clearing
Risk Awards 2021: clearer’s Prisma margin model proves its mettle in year of market tumult
Libor Risk – Quarterly report Q4 2020
Exactly when Libor’s regulator will sign the official death warrant for the most popular US dollar settings is now a cause of huge uncertainty. It’s also a matter of huge significance
Why US dollar Libor spreads may be mispriced
Fallback spreads for all currencies could be fixed together, even if some benchmarks survive past 2021
European regulators issue Brexit relief for UK pension funds
Some EU watchdogs are not enforcing mandatory clearing for trades between region’s banks and UK pension schemes
Multi-curve Cheyette-style models with lower bounds on tenor basis spreads
A solution for a no-arbitrage condition in Cheyette-style models is proposed
Japan weighs benchmark options as sun sets on Libor
Dominance of risk-free rates in local swaps markets post-Libor is no foregone conclusion, dealers say
Markets search for FX factor as rates fall flat
Traders signal shift to currency strategies, but is it passing fad or permanent fixture?
Strike a pose: deal contingents back in vogue after mid-year slump
M&A revival breathes life into deal contingent trades, but elevated risk keeps prices high
Margin calls on insurers, pension funds stoked MMF rout – ECB
Dutch firms accounted for huge share of VM payments in March
SOFR trading tails off after ‘big bang’ boost
Volumes peak, then slow down on CCPs’ shift to new RFR, but remain above 2020 averages
UK inflation reform date to be set in November
RPI switch could happen as early as 2025 to reduce government payouts on gilt linkers, experts suggest
FCM client margin for swaps continued to shrink in Q3
Barclays the outlier as required IM jumps 22%
Investors weigh merits of ESG hedging
Opinion divided over proposed tool for transferring risk of non-sustainable activities
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