Derivs - Interest Rate

The Bank of England has defended its role in the Libor scandal and has published a chain of e-mails between itself, the U.S. Federal Reserve and the British Bankers’ Association, which shows that the BoE put pressure on the association to reform the benchmark in 2008.

The global investigation by regulators into manipulation of interest rates is focusing on traders at Deutsche Bank, HSBC, Société Générale and Crédit Agricole.

The China Derivatives Exchange has begun clearing over-the-counter interest-rate swaps through its CHEDEX Clearing Partners unit.

The cheap implied volatility in bund futures, and the expectation that it will cheapen further, is fuelling interest in straddle calendar spreads.

Issuers in Australia are growing their structured products desks to tap changing investor appetite for fixed-income products.

Georges Assi, managing director and deputy global head of fixed income at Nomura in London, resigned yesterday.

The U.S. Commodity Futures Trading Commission and Securities and Exchange Commission have today finalized definitions of a swap, a securities-based swap, a securities-based agreement and a mixed swap.

Paul Tucker, the deputy governor of the Bank of England, has called for a review of all indices based on submissions and not real transactions. The probe should be part of the remit for Martin Wheatley, managing director of the U.K. Financial Services Authority, who will investigate how Libor is set and the possible sanctions for those that abuse it.

Areski Iberrakene, the former global head of equity derivatives at Dresdner Kleinwort, is in the early stages of preparing to launch a hedge fund in London, called Areski Capital.

The Basel Committee on Banking Supervision and the International Organization of Securities Commission published a consultative paper today endorsing initial margin thresholds for non-centrally-cleared over-the-counter derivatives. In response to the paper, the U.S. Commodities Futures Trading Commission has opened the public comment period for margin requirement for uncleared swaps.

Clearing of over-the-counter interest rate swaps via Singapore Exchange’s central clearing counterparty DerivativesClear increased slightly in June to SGD8.12 billion (USD6.39 billion) from SGD6.15 billion (USD4.84 billion) in May, according to data released by the city’s bourse.

The Chinese authorities will wait until the development of the nation’s central clearing counterparty before rolling out an electronic confirmation matching system across the onshore yuan interest rate swap market.