Derivs - Interest Rate

The coronavirus pandemic has put some major market regulation on ice, but not the Ibor transition, the most far-reaching financial reform still on market participants’ to-do lists.

LCH has come through the extreme volatility of February and March to clear record levels of derivatives across its interest rate, FX and credit derivatives arms.

Prop trading firm DRW has selected OpenGamma, the regulatory technology provider, to manage derivatives margin in its treasury.

Trading in CME Group’s Sofr derivatives hit record levels during March, as the exchanges and clearing group enjoyed soaring demand for its futures and cleared swaps.

The derivatives industry had a surprisingly quick win late on Friday when the Basel Committee on Banking Supervision (BCBS) and the International Organisation of Securities Commissions (IOSCO) authorised a one-year extension to the final phases of initial margin (IM) regulation.

David White, formerly a sales head at CME-owned TriOptima, has joined his former boss Stuart Connolly at CloudMargin, the collateral management technology provider.

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 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.

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.

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.

ISDA chief executive Scott O’Malia on Monday stressed the importance of keeping markets open despite concerns about the spread of Covid-19.

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.