Derivs - Interest Rate

An improvement in global risk sentiment has helped steepen the CNY curve this week but sources expect weakness in upcoming domestic data to limit scope for further steepening from current levels, writes Deirdre Yeung of Total Derivatives.

Last week's comments from Fed Chair Yellen have increased US rate hike expectations, supporting upward momentum in long CNY swap rates and a steeper curve. Sources say the move is likely to be short lived and that domestic data will provide direction again later this week, writes Deirdre Yeung of Total Derivatives

A requirement looming next week for major banks in the US to begin posting initial margin on uncleared swaps has prompted a chaotic scramble to comply with the deadline, said observers, while also elevating concerns about the preparedness of the rest of the market to meet future mandates. Dan Alderson reports.

Europe’s faltering on margin rules for uncleared swaps this year has, for some market participants, proved that the trans-Atlantic regulatory rollout has reached breaking point – a reckoning that, perversely, could buy the market some relief in the form of a slowdown in the regulatory pace.

China has been buying negative-yielding JPY bills to profit from using USD/JPY basis swaps. Short NDIRS have been bid. The curve is flattening and sources see scope for it to flatten further before 1s/10s meets resistance around the 35bp level.

The International Swaps and Derivatives Association and PricewaterhouseCoopers were among those wading in with suggestions this week as regulators sought consultation on how best to install a framework to resolve failing central counterparties (CCPs).

Deutsche Börse has completed the share exchange offer for its planned London Stock Exchange merger with a final acceptance ratio of 89.04%, far in excess of the required threshold despite a shaky start.

trueEX, a New York based interest rate swap trading platform, has begun providing execution of Brazilian real swaps cleared at CME Group.

trueEX, the interest rate swap trading platform, has begun providing execution of Brazilian real swaps cleared at CME Group.

The International Swaps and Derivatives Association (ISDA) has launched a protocol aimed at helping market participants comply with the variation margin requirements that come into force in March next year.

Tullett Prebon has extended its land grab in hybrid voice brokerage across trading classes, with a foreign exchange platform launch this week adding to recent manoeuvres in other areas such as rates and credit derivatives.

Support for the London Stock Exchange and Deutsche Börse’s merger plans has solidified among the German exchange’s shareholders, with more than 75% having tendered their shares — crossing the original threshold set by management.