Swaps
Client margin down 33% at Credit Suisse’s swaps unit in Q2
Drop in IM could signal clients jumping ship in the aftermath of Archegos blowout
EU ‘unlikely’ to force swaps relocation – ex-MEP Swinburne
Multinational corporates would resist clearing move if CCP equivalence is lost, says former lawmaker
Archegos report details margin failings at Credit Suisse
Dynamic margining and a $150,000 software fix for ‘bullet swaps’ could have saved the bank $3 billion
Mixed signals as swap dealers begin quoting ‘SOFR first’
Swaps referencing Libor successor revert to year averages after initial spike on conventions switch
No mandate, no problem: SOFR swaps embrace clearing
Almost 70% of RFR derivatives cleared and half traded over Sefs in voluntary adoption of post-crisis norms
Isda’s ‘master’ master agreement courts controversy
Single master agreement to cover repo, securities lending and derivatives could bring efficiencies, but many remain sceptical
At Citi, Goldman larger OTC swaps books drive up systemic risk scores
Increase in trading and available-for-sale securities bump systemic risk scores higher at BofA and JPM
CFTC’s Stump: new talks needed on offshore client clearing
Demise of Libor should spur rethink on US customer access to foreign clearing providers such as Japan’s JSCC, says commissioner
UK banks interest rate swap exposures fall £711bn
Credit derivatives exposures bucked the downward trend, growing 16% quarter on quarter
Bank of America cleared swaps jump $6.6trn
Bank’s quarterly increase leads US G-Sibs’ $25trn rise in Q1
The Libor replacement stakes: runners and riders
Credit-sensitive rates Ameribor and BSBY nose ahead of Ice, Markit and AXI; regulators keep watchful eye
Risk Live playback: Citi’s Andrew Morton on rates markets
Citi’s co-head of markets tips EU bonds to rival USTs, and backs batch auctions as alternative to Clobs
Who’s afraid of the RPI-CPIH judicial review?
RPI trading booming as the market ignores the legal challenge to the transition
UK derivatives market accelerates decline
The bulk of the quarterly reduction came from swaps held by UK banks with cross-border counterparties
Podcast: Piterbarg on medians and machine learning
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation
Market fragmentation – The impacts of multiple rates and conventions
A forum of industry leaders discusses key developments in benchmark reform, and the strategic, operational and technological challenges involved in Libor transition
Chinese exporters urged to ramp up US dollar hedges
Dealers join China’s Safe in sounding alarm at mounting unhedged FX exposures
The Giancarlo spirit: wobbling but not falling
The burden of US extraterritoriality rules may be easing
Yen swaps users stuck in clearing Catch-22
Lack of access to client clearing at JSCC poses problems for US buyers of Japanese government bonds
Tighter RMB rates basis brings new hedging opportunities
Increasing alignment between CNH and CNY benchmarks opens door to more cross-currency hedging by foreign lenders
Trading VAR at UBS peaked after Archegos blow-up
Swiss bank still posted a fall in market RWAs quarter on quarter
Esma plan ‘won’t help’ fix Mifid swaps data problem
Dealers say proposal to force disclosure of all big-bank OTC derivatives trades won’t improve data
Drax commits to ESG-linked FX derivative targets with UK banks
Renewable energy supplier applies long-term ESG KPIs to short-term FX trades with Barclays and NatWest
Euro swaps clearing showdown pits banks against Brussels
Forcing swaps clearing to Frankfurt would play into hands of US rivals, say European dealers