Swaps
Korea FX reforms expected to drive e-trading surge
Dealers say opening onshore FX market to foreign firms will push trading onto platforms
Client margin up 5% at Barclays’ F&O unit in March
US clearing unit overtakes Citi to reclaim sixth place among FCMs by required funds
Natixis turns on the taps in flow trading
French bank boosts flow business, balancing structured solutions capabilities
Wells Fargo’s F&O client margin reached new high in January
Required funds up $380m, pushing FCM’s month-end figure past pandemic peak
LCH UK units experience diverging IM requirements
EquityClear and RepoClear drop by half while SwapClear hits record high
US FCMs’ residual interest buffers hit record low in December
A decade on from CFTC rules on residual interest target, firms’ segregated cash has not kept pace with client funds
US FCMs far apart on target residual interest levels
Dealers diverge widely in how much capital they deem necessary to cover customer fund shortfalls
How China’s equities intervention caused a quant fund quake
Popular leveraged market-neutral trade crumbled after government stepped in to support major indexes in February
Quarter-ends add $184bn to FX swap costs, study finds
Academics observe 36% increase in bid/ask spreads in short-tenor liquid currency pairs at quarter-end
Goldman, JPM gain ground in FCM race for swaps
Duo boosted share of required customer funds at the expense of Citi and Morgan Stanley in 2023
CVA swap: a new type of capital relief trade
Dmitry Pugachevsky, Quantifi, discusses the emergence of the CVA swaps market
Dealers inch closer to clearing of FX forwards
LCH’s ForexClear aims to ease capital charges and margin constraints on banks, but will it kick-start clearing?
SABR convexity adjustment for an arithmetic average RFR swap
A model-independent convexity adjustment for interest rate swaps is introduced
FX losses mount after Argentina’s devaluation
Citi, Adidas among those taking hits totalling over $3.3bn in Q4 as dealers cite lack of hedging tools
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
Undeterred, hedge funds bet on euro swap steepeners
Expected rate cuts and pension reforms are driving steepener flows, but large pension funds may not be finished hedging at the long end
US FCMs wrap up 2023 with required customer funds toeing record high
Wells Fargo, BNP Paribas marked new peaks in December
Barclays’ F&O client margin hit new high in October
Bank on course to overtake Citi as sixth-largest FCM by required funds in the US
Banks rush to register as Korean onshore FX market opens up
Central bank eases licensing requirements as institutions look to capitalise on deliverable trades
HSBC leads global uptick in OTC derivatives clearing
Systemic banks cleared record €250 trillion in notionals in 2022
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
FX HedgePool launches all-to-all FX swaps matching
P2P platform starts daily matching and opens up to banks, hedge funds and ECNs
ARRC shuts down, with some questions still unanswered
Fed-backed group calls time on Libor transition with questions over term SOFR and CSRs still swirling
Electronic FX swaps execution advances on 360t
Sun platform could help banks auto-hedge and develop algo execution for the instruments