Interest rate derivatives
Iosco deals hammer blow to BSBY, Ameribor
Non-compliance ruling does not equate to a ban, but may strangle use by regulated firms
Refinitiv beefs up term €STR with cleared LCH swaps
Use of OIS transaction prices reflects data-sufficiency worries and euro-market desire for T+1 publication
Same instrument, different market
Dealer Rankings 2023: For buy-side firms, the list of banks you can trade with depends on who you are
Euro Axi rate proposed as Euribor fallback
New study lays groundwork for euro version of across-the-curve credit spread index
Hedge funds boost new Tona futures market
Arbitrageurs said to be behind early trading as contracts tipped to prove useful for US buy-siders
Morgan Stanley, JP Morgan lead Risk’s first Dealer Rankings
Dealer Rankings 2023: Analysis of more than 1,000 cuts of Counterparty Radar data offers rare glimpse of sell-side pecking order
Banks mull structured notes as term SOFR basis hedge
ARRC signals opposition to passing term SOFR-SOFR basis risk to investors via structured payoffs
IR swaps market for US funds rebounds in Q1
Counterparty Radar: Notional traded by mutual funds, ETFs bounces back to early-2022 levels
EU active account rule may impose costly CCP basis
Buy-siders say end-users could be forced into volatile Eurex/LCH basis at the worst time under EU proposals
BNPP appoints new head of US and CAD interest rate swaps
Eric Duclos joins from Crédit Agricole
Simm’s first off-cycle rejig hits non-cleared rates
Recalibration lifts initial margin for some products by 37% after year-end volatility forces update
Regional banks face soaring term SOFR spreads
Bid/offers hit 10bp as dealers price counterparty risk into non-cleared Libor transition trades
Europe’s new IRRBB test: the riddle with no answer
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
Eurex clearing chief calls for active account carve-outs
Isda AGM: Müller says EU clearing thresholds should exempt market-making and US client trades
Easing of trading curbs is no quick fix for term SOFR swaps
ARRC’s new guidelines will do little to improve liquidity, but may keep a lid on spiralling basis
Fed’s Bowman confirms interdealer term SOFR ban
Isda AGM: Further softening ruled out after April reprieve lifts curbs on term SOFR basis swaps
Dutch pension funds brace for hedging revamp
Planned legislative changes set to reduce long-end hedging needs, but market divided on curve impact
BME in talks with global banks over euro swaps clearing
SIX Group's Spanish CCP wants to establish itself as an alternative venue for onshore clearing by 2025
Swap Connect set to launch within weeks
After final rules were published last week, sources suggest CNY swap scheme could go live by May 15
Initial margin requirements for IR swaps hit record $325bn
CME, Eurex and LCH report aggregate 10% rise in month marred by most severe crisis since 2008
CVA desks avoided re-hedging as Credit Suisse teetered
As credit spreads blew out, dealers opted not to adjust rates and FX risks
US life insurers’ IR swaps usage hits $1.2trn in Q4 2022
Counterparty Radar: MassMutual is largest user of the instrument, finds our new analysis of industry filings
Behnam comments fan JSCC hopes for US client clearing
Japan clearing exec welcomes CFTC chair’s pledge to keep discussing OTC clearing status for non-US houses
Putnam adds $18bn to interest rate swaps book
Counterparty Radar: Market for mutual funds and ETFs grew to $677 trillion in Q4 2022