United States (US)
US fund filings show CME taking bite out of LCH swaps share
Counterparty Radar: Rivals neck-and-neck after big LCH user cuts rate swaps book and non-G10 trades surge
Pimco, Citi top for single-name CDS trades
Counterparty Radar: Top three managers account for 75% of positions – but only Pimco sells protection on the US
Big US managers diverge on CDS sales
Counterparty Radar: Pimco’s sold positions surge 80%, as PGIM and others retreat
Citi leads US banks in shrinking market risk
First aggregate drop in capital charges stemming from market risk since mid-2020
CME pulls client default rule change after pushback
FCMs claim proposal gave clearing house too much power in customer defaults
JP Morgan flirts with VAR limits
Largest trading loss in Q2 reached 96% of bank’s VAR limit
Wells Fargo clearing and futures head departs
Veteran who oversaw bank’s swift rise to swaps clearing juggernaut retires
IM phases five and six collide as buy side delays readiness
More than 1,000 segregated accounts for uncleared margin may still need to be opened post-deadline
BNY Mellon incurred a VAR breach in Q2
The highest losses-to-VAR ratio was 145.75%, in the first backtesting exception reported by the bank since 2018
Federal bill unpicks some, not all, US Libor legacy knots
Legislative effort is progressing with bipartisan support, but non-US law contracts won’t benefit
Wells Fargo, Citi amass losing days in Q2
On average, the eight top US banks reported 32 loss-making days
How to trade like the investor who made $1bn in a day
Mark Spitznagel won’t reveal how he made a 4,144% return, but he does discard plenty of rival trades
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
Fed’s repo facility won’t end US Treasury woes, experts say
Dealer facility does little to address root causes of recent liquidity shocks
Citi clearing head departs for crypto firm
Senior departure is latest among swaps giant’s clearing ranks
OCC quants tout anti-procyclical margin method
Technique aims to lower initial margin calls in times of stress without sacrificing risk sensitivity
After Archegos, prime brokers put the squeeze on hedge funds
Hedge funds are told they will need to pay more margin, more frequently, to back their trades
Capitolis to acquire LMRKTS
Deal for multilateral compression provider latest in wave of post-trade tie-ups, as SA-CCR bites
Federal tough legacy fix gives nod to alternative rates
Legislation does not “disfavor” alternative rates, but safe harbour may not stretch beyond SOFR
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
Show your workings: lenders push to demystify AI models
Machine learning could help with loan decisions – but only if banks can explain how it works. And that’s not easy
Cross-currency swaps set to ditch Libor in ‘RFR first’ drive
A plan to oust Libor in September is expected to spur voluntary RFR adoption for euro legs
CME’s term SOFR rate gets the official nod
Endorsement comes just three days after ‘SOFR first’ drive, cementing availability in fallbacks
Ex-regulators back PTFs’ call to reform Treasuries clearing
G30 proposal comes just weeks after PTFs requested improvements to Ficc sponsored clearing