Derivs - Interest Rate

Credit Suisse is developing a swap execution facility agency model that will connect its clients to SEFs.

The bid/offer spread has significantly contracted since US regulation requiring certain products to be traded on swap execution facilities became effective. UBS’ aggregation model Neo has seen spreads decrease on its SEF electronic order books by approximately 50%.

I-Swap, an electronic interest rate swap platform operated by ICAP, traded a record 428 dollar interest rate swaps worth a notional volume of $17 billion in May, representing 23% of all dollar interest rate swap trades at ICAP.

US regulators have created a swap execution facility regime that incentivises SEFs to issue made-available-to-trade determinations against contracts where they see potential liquidity, but that has led to a decline in volumes once the MAT becomes active, according to participants.

A significant number of senior buy- and sellside participants think that the Markets in Financial Instruments Directive II will have a negative impact upon liquidity, according to a survey conducted by MarketAxess and Trax.

Financial regulators in Canada are considering marrying their upcoming rules governing clearing and margin requirement reforms of over-the-counter derivatives. The regulators in the provinces of Ontario, Manitoba and Québec are looking to streamline the reform process and could re-release the draft rules for further public consultation once joined.

The CNY swap curve has flattened after a soft PMI report triggered good offered-side interest in five years, and market participants are waiting for more detail on the latest round of targeted easing by the People's Bank of China (PBoC). Meanwhile, corporate bond spreads are widening as China's default tolerance increases, writes Deirdre Yeung of Total Derivatives.

The five Canadian banks registered as swap dealers with the US Commodity Futures Trading Commission will not have to provide risk exposure reports on a quarterly basis until Oct. 31 2014.

Outperformance in five year CNY swaps flattened the curve on the rally on Thursday as liquidity concerns have eased. SCB recommends exiting paid two year CNH CCS positions, while Nomura is sticking with its paid one year call, writes Deirdre Yeung of Total Derivatives.

Nomura has globally made available its electronic futures trading platform via Instinet’s Newport Execution Management System.

Chris Yoshida, Europe, Middle East and Africa head of interest rate distribution at Morgan Stanley, is joining Deutsche Bank in a new role in New York.

The Stoxx GC Pooling EUR Deferred Funding Rate has been licensed to Eurex to underlie a new futures contract from the exchange.