United States
Index vol has been a poor hedge for equity rout, traders say
Single stock ‘micro’ hedges have offered more protection in this year’s selloff
Archegos, LME show swaps data blindspots – CFTC chair
Regulator is actively looking to beef up reporting and data aggregation capabilities for index swaps
CME to reinforce term SOFR with swap inputs
Inclusion would leapfrog a 25% OTC liquidity threshold embedded in methodology
Prop stop: SEC plan to register prop trading threatens liquidity
Rule change may also be a crypto landgrab by SEC chairman Gensler, critics say
Client margin up 43% at Mizuho’s F&O in Q1
US unit of Japanese bank overtakes Credit Suisse, Barclays, UBS and Interactive Brokers
Private equity is finding ways to attract smaller investors
Platforms and funds of funds make it easier to get money out, but opacity and liquidity risk remain
Charles Schwab rejigs bond books as it braces for AOCI reintroduction
Dealer might soon lose ability to waive mark-to-market swings from capital
OCC sees sharp drop in ransomware attacks on US banks
OpRisk North America: drop-off confounds expectations and mystifies regulators
Emir data may have exposed Archegos, but not in real time
Entity-level reports were limited to supervisors, leaving counterparty banks in the dark
Credit risk capital models hanging by a thread in the US
Industry insiders expect Fed to drop IRB and IMM when adopting Basel III, but market risk models may survive
Client margin at CS down $14.6bn since Archegos collapse
Bank’s US clearing units slashed required funds for swaps and F&O since March 2021
LCH plans two-part US Libor swap conversion
CCP to ditch pre-emptive basis splitting in April and May switchover, but retains overlay swaps
Duck! Buy-side plan to dodge IM rules could backfire
Three-quarters of phase six firms do not expect to exchange margin for at least six months
JP Morgan’s internal VAR hit 10-year high in March
CVA’s credit risk component split from VAR measure following credit spreads widening at some counterparties
How to stop stablecoins from hoarding precious collateral
Repo markets expert and crypto bank chief exec think Fed reserves are the right answer
Boaz Weinstein picks Ukraine bonds as a tail-risk strategy
Saba Capital bought debt for as little as 20 cents on the dollar, anticipating explosive payoff
JPM: EU corporate CVA exemption could split swaps liquidity
Isda AGM: Market may price in permanent lower capital charge if exemption retained in CRR III
How banks got caught in Archegos’s web of lies
Risk managers quizzed and confronted the firm, but lawsuits claim they were “systematically misled”
Revival of FX carry strategy leaves quants unconvinced
Record returns in March give little comfort that strategy is ‘back’
Pimco triples book as IR swaptions market nearly doubles
Counterparty Radar: Goldman Sachs nets almost all of bond giant’s Q4 growth
MSIM’s baffling $400m options splurge
Funds owned or advised by the manager have spent vast sums on a USD/CNH strategy that appears not to have paid off
CFTC best-placed to regulate digital assets – Pham
Newly confirmed commissioner says agency has the authority and precedent to police crypto markets
Rate-linked notes trigger ‘pain trade’ for dealers
Negative 2y30y US swap spread sees hedging costs for range accruals soar, fuelling more flattening
Non-transparent ETF spreads are tighter than transparent ones
Non-transparent ETFs don’t disclose what they own. Market-makers have worked it out anyway