Swaps
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
Living with SA-CCR, one year on
Collateral agreements and FX futures may be some of the ways to tackle increased capital costs
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
Client margin for swaps drops to virtually zero at Credit Suisse
Required funds posted to the bank’s US clearing unit totalled $12 at end-2022
The evolving use of swaps by pension schemes
The end of the Emir mandatory swaps clearing exemption for pension scheme arrangements (PSAs) is approaching. Susi de Verdelon, global head of LCH SwapClear, discusses the significance of the upcoming change for PSAs, and the implications for their…
Client margin for swaps hits new record at four FCMs
Required funds at all-time high at BofA, Goldman, JP Morgan and Barclays in November as market turbulence persists
Client margin up 4% at Barclays’ swaps clearing unit
US unit of UK bank became sixth FCM by share in October
IM at Eurex Clearing’s IRS unit rose again in Q3
Heightened market volatility behind latest increase to record high €50.7bn
NatWest takes on custodians with new FX overlay service
UK bank working with Lumint to win over mid-tier asset managers
LCH’s fixed income and IRS units hit by record margin breaches
Peak breaches in Q3 were £924 million and £698 million in size, respectively
Equity swap clearing: LSEG aims to sway naysayers
Initial margin, SA-CCR and Archegos fuel comeback of total return swap clearing, but scepticism remains
Capitolis cuts workforce by 25% as bear market bites
Recent senior hires including James Kibbe and James Reilly are among the departures
FCM client margin for swaps hit record high in September
JP Morgan reported the largest monthly increase across the 13 reporting firms
BNP Paribas hires to boost US derivatives push
Clearing relationship managers and electronic trader hired from Citi, Morgan Stanley
Client margin at Barclays hits record $27bn
Required funds rose 13% for F&Os and 8% for swaps in August
‘Perfect’ VKO trades knock the smile off vol
Dealer hedging of options which profit from ‘spot down, vol down’ may have amplified rare dynamic
Pensions eye collateral facilities to buffer market turmoil
Arrangements would allow funds to exchange riskier assets like corporate bonds for cash or gilts
Chill winds blow for Capitolis’s equity swap platform
Fintech’s effort to revive off-balance-sheet funding runs into market and regulatory turbulence
Inflation swaps market for US funds comes to standstill
Counterparty Radar: Goldman Sachs moves to top dealer spot for non-cleared trades
FX market weighs viability of spot clearing
Supporters believe it could remove credit risks, but others say it would be unnecessary and add costs
Client margin at Credit Suisse shrinks to just $25m
Required funds for swaps meet same fate as F&O trades, as exit from prime services continues
LSEG to launch clearing for equity swaps
Turquoise, LCH tie-up comes as equity swaps attract regulatory scrutiny in wake of Archegos
IM at three LCH clearing units rose in Q2
Increase in clearing volumes pushed collateral up at EquityClear, RepoClear and SwapClear
European pension funds must start clearing next year – EC
Exemption preventing pension funds from mandatory clearing will come to an end permanently in June 2023