Swaps
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
Margin exchange threshold relief: get out of jail free?
‘Game-changing’ IM exchange threshold relief may not be the phase five free pass it first appears
First SOFR versus CORRA cross-currency swap hits market
JP Morgan and National Bank of Canada extend SOFR cross-currency trading into Canadian market
BNP buys Deutsche’s delta one assets in latest CRU auction
French dealer lodges winning bid after missing out on flow equity portfolios last year
Understanding the significance of SOFR discounting for derivatives trading and risk
Two years in, the transition toward secured overnight financing rate (SOFR) has seen several milestones crossed, with 2019 in particular seeing a strong acceleration in SOFR usage. With all the SOFR trading activity that has taken place so far, the…
Isda plans February rerun of Libor pre-death trigger poll
Lack of consensus would add pre-cessation option to post-cessation protocol for bilateral swaps
How Onyx came from nowhere to conquer oil swaps
In just four years, market-maker has become the largest provider of liquidity in energy derivatives
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
Compounding, venue disruptors and the Fed’s stress buffer
The week on Risk.net, January 11–17, 2020
On eve of Brexit, PPF’s chief risk officer isn’t too worried
Stephen Wilcox talks about getting pensions paid without the benefit of controlling ‘UK Plc’
Judgement day looms for dealers in swap shift to Sonia
Regulator pushes Q1 deadline for users to adopt risk-free rate as norm for interdealer trades
Swaps data: have SOFR and Sonia swaps and futures lived up to expectations?
Progress on volumes of SOFR and Sonia swaps and futures
Swap books swell at UK banks in Q3
Gross derivatives assets with non-bank financial firms up 39%
Singapore’s banks eye LCH membership
London CCP’s move to clear for stranded SGX clients pays off, amid broader Apac membership push
In the US, it’s an even ‘tougher legacy’ for Libor
A legislative solution for cash products is in the works, but lawyers say it raises constitutional issues
US firms must rerun non-cleared margin test in March
Proposed CFTC calculation delay offers in-scope firms chance to trade out of phase five compliance
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Will uncleared margin rules change the FX landscape?
As the next phases of uncleared margin rules come into force, there will be an economic driver for more clearing of FX. By Phil Hermon, Executive Director of FX Products at CME Group
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck
How pre-trade IM calculation can optimise and reduce collateral drag
With firms under pressure to make their systems compliant with uncleared margin rules (UMR), the increase in margin requirements has put further strain on the availability of high-quality liquid assets. Mohit Gupta, senior product specialist at Cassini…
The swap market Bergomi model
The combination of two popular volatility models sharpens the hedging of exotic rate derivatives
MVA taking the long road to acceptance
Four years on, the adjustment is still not a standard part of non-cleared swap pricing
Over five years, swaps plummet, options climb at US banks
Swap notionals down $45 trillion since Q2 2014
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…