Interest Rates

  • Calm in cross-currency after Fed soothes dollar trauma

    Calm in cross-currency after Fed soothes dollar trauma

    The US Federal Reserve’s unprecedented injections of dollar liquidity calmed conditions after a chaotic month in the cross-currency swap market’s short-end, but traders are looking at its effects on the primary bond markets as the next test.

  • US gives sweet SA-CCR relief

    US gives sweet SA-CCR relief

    US market participants’ can now use their preferred method of calculating counterparty credit risk (CCR) for derivatives, after US regulators brought the adoption of SA-CCR forward.

  • Derivatives industry pushes for IM relief amid uncertainty

    Derivatives industry pushes for IM relief amid uncertainty

    Financial market trade associations are pushing regulators to give relief on incoming regulatory requirements on initial margin, pleading that the coronavirus is causing too much disruption to their members’ business lines.

  • FCA stands firm on Libor transition deadline

    FCA stands firm on Libor transition deadline

    After discussions with the Bank of England and the Sterling Risk-Free Reference Rates Working Group over the impact of Covid-19 on companies’ plans to transition from Libor, the UK’s Financial Conduct Authority said on Wednesday that the final deadline of the end of 2021 was immutable.

  • Swaps liquidity collapse adds to SSA burden

    Swaps liquidity collapse adds to SSA burden

    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.

  • CFTC slashes work from home rules but UK tinkers

    CFTC slashes work from home rules but UK tinkers

    The US Commodity Futures Trading Commission gave market participants adapting to working from home some relief late on Tuesday, with sweeping no-action relief on voice recording requirements. The UK’s Financial Conduct Authority hasn’t gone so far, but has offered firms some flexibility.

  • Stress test turns real as virus vol hits fever pitch

    Stress test turns real as virus vol hits fever pitch

    Financial market participants were left wondering this week if what felt to many like a very vivid stress test had become a complete meltdown, as searing volatility puts all players into crisis preparation mode, write Ross Lancaster, Jon Hay, Max Adams and David Rothnie. Strains are appearing in places where they were not expected, such as the US Treasury market. But markets are continuing to function and some traders have enjoyed exceptional volume.

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