Swaps
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
Client margin up 8% at Barclays’ swaps clearing unit
UK bank bucks trend and overtakes Wells Fargo to become sixth FCM by share in August
Nasdaq revs up listed equity swaps; LSEG stuck in neutral
Trading opens for custom basket forwards, as LSEG shelves Turquoise and LCH tie-up
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Pension funds weigh corporate bonds as margin for gilt repo
Stung by disastrous losses during last year’s LDI squeeze, funds consider greater range of collateral on gilt repo
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
John Hancock Life loads on inflation hedges
Counterparty Radar: US life insurer inflation swaps market doubles in Q1 on back of Manulife-owned firm’s expansion
NatWest plans to put the XVA into RFQs
Bank to launch approximation tool on its electronic pricing framework for FX forwards
US G-Sibs’ OTC derivatives hit record $243 trillion
JP Morgan leads US dealers in boosting notional amounts during volatile first quarter
CME in talks to clear term SOFR basis swaps
US clearing house has held discussions with some dealers about clearing term SOFR-SOFR packages
DisConnect: no deluge of demand for onshore CNY swaps – yet
Despite modest uptake, new onshore swaps on China’s Swap Connect could outdo non-deliverable IRSs, say dealers
Client margin for swaps hit all-time high in March
Wells Fargo, Goldman and BNP Paribas reach record figures, but overall trend driven by five big dealers
Managing a high-inflation environment with clearing
Recent geopolitical events, macroeconomic forces and market disruptions have created significant challenges for the investment community. LCH explores how clearing can help market participants manage inflation.
Initial margin requirements for IR swaps hit record $325bn
CME, Eurex and LCH report aggregate 10% rise in month marred by most severe crisis since 2008
Capital Group, BMR double down on bought index CDSs
Counterparty Radar: Market for US mutual funds contracts in Q4 for the first time in eight quarters
As rates rose, KeyBank unwound 94% of pay-fixed swaps
Sale of AFS hedges left book exposed throughout late 2022, much as at ill-fated SVB
First CAD, yen inflation swaps appear in mutual fund filings
Counterparty Radar: Western Asset slashed inflation bets in Q4 as Empower probes new frontiers
Did US hedge accounting rules contribute to SVB’s recklessness?
Hedging and directional risk-taking was a problem, but FASB regime may have complicated matters
Revealed: where banks are (literally) warehousing their swaps
As derivatives notional grows, dealers experiment with novel storage solutions
Vue CDS triggered, but payout showtime still in doubt
Lack of public debt information raises more questions about credit event determinations
Bank ALM crisis leaves FX hedgers with steeper roll costs
Spreads on EUR/USD forwards jumped more than fourfold in past two weeks
Capitolis chief risk officer to depart
Two months after firm registered as swap dealer, signatory of SEC filing announces retirement
Refinitiv’s FXall launches automated forward fixing tool
New service offers asset managers automatic competitive pricing for a benchmark trade’s forward points