Swaps
SOFR swaps surge past $1 trillion weekly
OIS make up the majority of SOFR-referencing swaps
Dealers slam alternative for Tibor Tokyo swap rate
Refinitiv activates synthetic version, but TSR’s cessation is on hold pending further consultation
Client margin at Credit Suisse down over $10bn last year
Bank's US clearing units slashed required funds for swaps and F&O
Market halts clearing shift to Eurex ahead of EU consultation
Participants hit ‘pause’ after proposed three-year equivalence extension for UK clearing houses
CFTC delays rewritten swaps reporting rules after industry plea
Firms still face multiple rounds of compliance to implement UPI and ISO standards
Pimco’s Brazilian real deal swells its swaps portfolio
Counterparty Radar: Bond investor held an 83% market share of BRL swaps traded with mutual funds at Q3 2021
Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew
Credit Suisse’s US clearing unit cuts client margin by over 40%
Required segregated customer funds for swaps, futures and options down sharply since Archegos default
Looking ahead to the post-Libor landscape
Libor’s days are coming to an end, so what does the future hold? A Risk.net expert panel discusses the original dream of a multi-benchmark world, and whether it is still alive
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
At LCH, required IM rose over Q3
Required minimum demanded of clients increased at ForexClear, RepoClear and EquityClear, but fell at SwapClear
UK bank derivatives exposures rose by £38bn in Q3
FX contracts drove the overall increase
Swaps between UK banks and foreign firms up in Q3
Despite latest uptick, gross value of derivatives contracts held by UK banks is 67% below 2008 peak
Client margin up 7% at Bank of America’s swaps unit
Aggregate required client margin across all FCMs at highest point since second quarter of 2020
Esma calls for more powers over UK CCPs
Sources say Emir 3.0 could be on the way with Esma a big winner
Europe swap dealers eye London return post-Brexit
Proposed Mifid exemption paves way for BNP Paribas, SocGen and Deutsche to trade swaps on UK venues
SA-CCR brings little succour for FX dealers and clients
Spreads on swaps and forwards likely to widen as banks adjust to capital-intensive regime
You’ve got a Frandt: banks set to port EU clearing rules to UK
FCMs set to adhere to higher standard on commercial terms for swaps clients
Clearing of legacy Libor swaps
Phillip Whitehurst, LCH, discusses the most disruptive aspects of all the conversions of non-US dollar Libor trades that will have happened by the end of the year, how LCH is dealing with legacy swaptions that settle into cleared swaps and how this…
FCA: dealer polls pose further Libor transition hurdle
Schooling Latter warns further work needed to migrate products that require dealer quotes when Libor ceases
Bumpy ride expected as Libor reaches end of road
Heavy reliance on contractual fallbacks leaves market facing series of post-cessation risks
Morgan Stanley cleared swaps jump 9% in Q3
Latest quarterly increase, alongside that of Bank of America and State Street, bucks the trend across top US banks
HSBC leads systemic banks in cutting derivatives exposures
On aggregate, the top 30 banks shrunk notionals by 7% year on year
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor