Risk Quantum/Commodity Futures Trading Commission (CFTC)
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
Goldman’s swaps clearing unit boosts client margin by $1.2bn
The top eight FCMs accounted for 95.8% of total client required margin, down 96.4% YoY
Client margin up 40% at Morgan Stanley’s swaps unit in Q1
Aggregate US FCM margin up a huge $34.8 billion quarter-on-quarter
Funds piled into WTI futures in wild week for crude
Funds long 325 million barrels on April 21
Traders flee Vix futures
Short interest of asset managers down 80% on 12-month peak
Hedge funds cut short US Treasury futures exposure – CFTC data
Short open interest held by leveraged participants down 23% from 12-month peak
Morgan Stanley’s swaps clearing unit boosts client margin by $4.8bn
In total, FCMs see required client margin increase 18% quarter on quarter
Citi’s swaps clearing unit boosts client margin by $2bn
The largest FCM accounts for 27.1% of all required client margin
JP Morgan hoovers up $1.5bn of client margin in Q1
Total required client margin held by bank increases 13% quarter-on-quarter
Traders soured on Vix futures in 2018
Open interest in Vix futures ended year 44% down from January peak
Citi grows US swaps margin share in 2018
Citi remains the largest FCM, with a 27.5% share of total required client margin
Morgan Stanley FCM gains ground in Q2
Share of required client margin increases to 19% at end-June