Swaps
Legg Mason, Western AM jump into surging inflation market
Counterparty Radar: AB, Lord Abbett, PGIM also report larger books in Q2, as swap activity ramps up
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era
Inflation swap stampede stirs fears of lopsided market
Soaring demand for inflation hedges leaves dealers struggling to balance exposure
RMB house of the year: Standard Chartered
Asia Risk Awards 2021
OTC derivatives clearing: no turning back
Clearing advocates have plenty of reasons to feel optimistic about the future
Rafi set to take helm of Citi clearing business
Reshuffle continues at leading clearer following senior departures
Mizuho tries its hand in European rates
Japanese bank bets on handful of deep relationships to compete in crowded European market
Wells Fargo clearing and futures head departs
Veteran who oversaw bank’s swift rise to swaps clearing juggernaut retires
Crédit Agricole grew OTC derivatives notionals 17% in 2020
Bank pulls ahead of SocGen as third-largest European derivatives bank but risks incurring a higher G-Sib score
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
EU ‘unlikely’ to force swaps relocation – ex-MEP Swinburne
Multinational corporates would resist clearing move if CCP equivalence is lost, says former lawmaker
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
Mixed signals as swap dealers begin quoting ‘SOFR first’
Swaps referencing Libor successor revert to year averages after initial spike on conventions switch
No mandate, no problem: SOFR swaps embrace clearing
Almost 70% of RFR derivatives cleared and half traded over Sefs in voluntary adoption of post-crisis norms
Isda’s ‘master’ master agreement courts controversy
Single master agreement to cover repo, securities lending and derivatives could bring efficiencies, but many remain sceptical
At Citi, Goldman larger OTC swaps books drive up systemic risk scores
Increase in trading and available-for-sale securities bump systemic risk scores higher at BofA and JPM
CFTC’s Stump: new talks needed on offshore client clearing
Libor demise should spur rethink on US customer access to foreign clearing providers, says commissioner
UK banks interest rate swap exposures fall £711bn
Credit derivatives exposures bucked the downward trend, growing 16% quarter on quarter
Bank of America cleared swaps jump $6.6trn
Bank’s quarterly increase leads US G-Sibs’ $25trn rise in Q1
The Libor replacement stakes: runners and riders
Credit-sensitive rates Ameribor and BSBY nose ahead of Ice, Markit and AXI; regulators keep watchful eye
Risk Live playback: Citi’s Andrew Morton on rates markets
Citi’s co-head of markets tips EU bonds to rival USTs, and backs batch auctions as alternative to Clobs
Who’s afraid of the RPI-CPIH judicial review?
RPI trading booming as market ignores legal challenge to the transition
UK derivatives market accelerates decline
The bulk of the quarterly reduction came from swaps held by UK banks with cross-border counterparties
Podcast: Piterbarg on medians and machine learning
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation