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Internal restrictions mean SSAs issue fewer CMS-linked notes
JP Morgan and Dutch pension fund PGGM transacted derivatives margin trade
◆ Chinese bank treasury shift from USTs to dollar callables considered ◆ Some European SSAs face cross-currency limitations ◆ Previous market staple 'almost non-existent'
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A group of 23 banks and 12 securities houses completed 154 renminbi interest rate option (IRO) transactions worth Rmb12.8bn ($1.81bn) on Monday. The new derivatives product is viewed as a solid step for China’s interest rate reform. -
ISDA chief executive Scott O’Malia on Monday stressed the importance of keeping markets open despite concerns about the spread of Covid-19.
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Wild swings in the euro/dollar basis swap, and an unreliable interest rate swap complicated bond execution in the SSA market this week. While some liquidity has returned in rates, cross currency swaps are still behaving very strangely.
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IHS Markit is continuing with the Friday rolls for its popular CDX and iTraxx indices, despite the extreme volatility affecting credit markets as Covid-19 and low oil prices spread uncertainty.
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Exchanges around the world have closed their open outcry pits as the threat of Covid-19 has shunted trading over to electronic formats.
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The synthetic risk transfer market, where specialist hedge funds write protection on up to €100bn of notional risk per year from banks, is grappling with the impact of the coronavirus on SME and corporate credit. The illiquid bilateral transactions barely trade, but have increasingly been financed through the repo market, giving banks and funds a challenge as they fight over where the positions should be marked.
