Swaps
The future of skew
Forward start volatility swaps and their pricing and hedging models are introduced
Client margin at CS down $14.6bn since Archegos collapse
Bank’s US clearing units slashed required funds for swaps and F&O since March 2021
Pricing data is key to unlocking FX swaps e-trading
Digitec’s Stephan von Massenbach on why automation is needed for e-trading to reach its potential
FSB warns on Archegos-style leverage
Isda AGM: Knot takes dim view of banks piling up leverage blind
Banks eye ‘nirvana’ in machine-executable swaps reporting
Coded reporting requirements to save banks “millions” in compliance costs
How banks got caught in Archegos’s web of lies
Risk managers quizzed and confronted the firm, but lawsuits claim they were “systematically misled”
Archegos revisited: the gaps in Credit Suisse’s story
Ahead of shareholder vote, former execs point to gaps in key report – raising new questions about accountability
Banks face conduct risk threat as term SOFR trading grows
Trades linked to forward benchmark at risk of falling foul of strict client hedging remit, lawyers warn
Client margin at Credit Suisse hit a new low in February
Latest CFTC data shows significant reductions of required funds for swaps and F&O at the bank’s US clearing unit
CFTC approves start-up SDR ahead of US reporting overhaul
KOR Financial expects 30–50% cost savings as participants prepare to adopt US rule rehash
It’s complicated: why backtesting is so challenging, but so important
Hiroshi Tanase, executive director of product analysis and design at S&P Global Market Intelligence, explores why, with the implementation of phase five of uncleared margin rules (UMR) last September and with the phase six roll-out just around the corner…
Citi’s share of cleared swaps hits new high
Latest quarterly increase, alongside that of Goldman Sachs, bucks trend across top US banks
Time’s up for UK banks to unwind swaps with VTB
Majority of contracts have been terminated, but laggards face prospect of default
US funds continue expansion of sold CDS protection
Counterparty Radar: Pimco leads charge with $57 billion in total sold positions
US rate caps under strain amid volatility surge
Market uncertainty hits liquidity in options on swaps, dealers say
Barclays, HSBC held $12trn of Libor swaps on eve of cessation
Both banks made significant progress over 2021, but more remains to be done
‘Dead’ derivatives market leaves big Russia dealers unhedged
VTB and Sberbank face directional exposure to local corporates after mass unwinds by foreign banks
Credit default swaps on Russian companies face uncertain future
With CDS auctions on sanctioned companies unlikely, traders may have to rely on dealer estimates
EC ignores pleas to extend clearing consultation deadline
Despite industry appeals for more time on EU-wide clearing consultation, EC refuses an extension
Market begs EC for more time to mull euro clearing proposals
Firms given one month to respond on wide-ranging consultation around relocation of euro swaps
Boost for deal contingent hedging as M&As face waiting game
With M&As subject to regulatory delays, banks see renewed demand for deal contingent hedging
Legacy Libor swaptions face day of reckoning
Holders of physically settled swaptions in sterling and yen must switch to new risk-free rates, but it’s not simple
GM Financial’s derivatives fall 72% in value in 2021
A steeper forward interest rate curve paired with an appreciating dollar erased most of the gains booked by the carmaker’s lending arm in 2020
SOFR swaps surge past $1 trillion weekly
OIS make up the majority of SOFR-referencing swaps