Swaps
US FCMs far apart on target residual interest levels
Dealers diverge widely in how much capital they deem necessary to cover customer fund shortfalls
CVA swap: a new type of capital relief trade
Dmitry Pugachevsky, Quantifi, discusses the emergence of the CVA swaps market
Dealers inch closer to clearing of FX forwards
LCH’s ForexClear aims to ease capital charges and margin constraints on banks, but will it kick-start clearing?
SABR convexity adjustment for an arithmetic average RFR swap
A model-independent convexity adjustment for interest rate swaps is introduced
FX losses mount after Argentina’s devaluation
Citi, Adidas among those taking hits totalling over $3.3bn in Q4 as dealers cite lack of hedging tools
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
Undeterred, hedge funds bet on euro swap steepeners
Expected rate cuts and pension reforms are driving steepener flows, but large pension funds may not be finished hedging at the long end
US FCMs wrap up 2023 with required customer funds toeing record high
Wells Fargo, BNP Paribas marked new peaks in December
Barclays’ F&O client margin hit new high in October
Bank on course to overtake Citi as sixth-largest FCM by required funds in the US
Banks rush to register as Korean onshore FX market opens up
Central bank eases licensing requirements as institutions look to capitalise on deliverable trades
HSBC leads global uptick in OTC derivatives clearing
Systemic banks cleared record €250 trillion in notionals in 2022
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
FX HedgePool launches all-to-all FX swaps matching
P2P platform starts daily matching and opens up to banks, hedge funds and ECNs
ARRC shuts down, with some questions still unanswered
Fed-backed group calls time on Libor transition with questions over term SOFR and CSRs still swirling
Electronic FX swaps execution advances on 360t
Sun platform could help banks auto-hedge and develop algo execution for the instruments
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
Client margin up 8% at Barclays’ swaps clearing unit
UK bank bucks trend and overtakes Wells Fargo to become sixth FCM by share in August
Nasdaq revs up listed equity swaps; LSEG stuck in neutral
Trading opens for custom basket forwards, as LSEG shelves Turquoise and LCH tie-up
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
FCM client margin for swaps hit record high in June
JP Morgan, Barclays drive required funds increase, with UBS doubling prior-year figure
Pension funds weigh corporate bonds as margin for gilt repo
Stung by disastrous losses during last year’s LDI squeeze, funds consider greater range of collateral on gilt repo