Swaps
Why Isda ditched ‘off-cycle’ updates for Simm
Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations
New hope for crypto derivatives as markets urged to hail CESR
Ethereum staking index could allow swap curve and structured products to develop
Man on a mission: Axel van Nederveen, swaps evangelist
EBRD treasurer spreads the good word about local currency derivatives markets
Fidelity FX forwards trades propel BofA to top dealer spot
Counterparty Radar: Bank of America takes dealer rankings lead in Q1 for the first time
Regulatory confusion clouds first annual IM recalculation
Firms dropping out of scope may need to continue posting non-cleared margin in some jurisdictions
Why KfW revived an old idea for cross-currency collateral
Transport currency concept re-emerges at SwapAgent, but dealers warn of hidden FX risks
Chinese corporates step up FX hedging after reopening
Exporters eye hedges as RMB strengthens, but negative forwards points are a turn-off for some
Bank ALM crisis leaves FX hedgers with steeper roll costs
Spreads on EUR/USD forwards jumped more than fourfold in past two weeks
Crypto gets to grips with interest rate swaps
New derivatives provide synthetic access to staking yields and are being used in structured products
FX settlement risk grows again in latest triennial survey
BIS also finds falling market share on primary venues and more internationalisation of emerging currencies
CVA exposures to UK corporates jump ‘hundreds of millions’
Dash for credit protection triggered a doom loop in the CDSs of cross-currency swap counterparties
Market weighs viability of spot FX clearing
Supporters believe it could remove credit risks, but others say it would be unnecessary and add costs
Nomura targets smaller Chinese banks after first CFETS trade
Japanese bank is one of seven offshore FX dealers offering G10 pricing on China’s interbank market
Is stochastic cross-currency basis a better way to model IM?
Using Monte Carlo model extension for forward IM calculation avoids excessive outputs for MVA
Will last look disclosures come to FX derivatives?
JPM and NatWest have published their swaps and options last look windows – will others follow suit?
Banks prepare to unleash FX swap bots
BNP Paribas, JP Morgan build execution algos to plug into platforms – but swaps liquidity needs to catch up first
Dealers advancing electronic FX swaps trading on CME
Deutsche Bank is among a handful of dealers using CME’s FX Link platform to help automate market-making
A SwapAgent-bilat basis? Not for now
SA-CCR may make settled-to-market capital benefits more difficult to quantify
Eurex to debut NDF clearing after mothballing physical FX
Bourse hoping to scoop up EU clients trading on 360T, eyes September non-cleared margining deadline
HSBC, StanChart face capital hit on cleared renminbi trades
Lack of UK recognition for Shanghai Clearing House could prompt banks to reduce exposures
‘Dead’ derivatives market leaves big Russia dealers unhedged
VTB and Sberbank face directional exposure to local corporates after mass unwinds by foreign banks
Russia sanctions throw derivatives market into disarray
Lawyers say western banks face illegality terminations; industry groups plan deliverable ruble workaround
