Swaps
Market welcomes SOR fallback consensus
Clarification of five-year median spread adjustment is helpful, but “no magic bullet”
Banks prepare to unleash FX swap bots
BNP Paribas, JP Morgan build execution algos to plug into platforms – but swaps liquidity needs to catch up first
JP Morgan fined for not reporting half of FX swap trades
US bank incorrectly believed one-day swaps did not have to be reported
US mutual funds retreat from inflation hedges
Counterparty Radar: Volumes down 44% as Pimco slashes positions; Western Asset and JP Morgan buck the trend
Goldman retakes top dealer spot in single-name CDS trades
Counterparty Radar: Pimco, Ice increase market share as volumes decline
Pimco, Western AM buttress sold index CDS positions
Counterparty Radar: US funds grow CDX NA HY positions by $7.2 billion in Q1
European banks can’t escape SA-CCR hit, warns FX exec
Although not yet directly affected, EU dealers may feel regulation’s impact, says Goldman’s Wilkins
Capital Group leads charge in ballooning IR swaps market
Counterparty Radar: US mutual funds flock to G10 currency trades as macro conditions worsen
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps
Eurex’s fixed income and IRS units hit by almost 700 breaches
Peak breaches in Q1 were €706 million and €214 million in size, respectively
Euro, Swiss swaps trading jump on rate hike chatter
Highest weekly volumes since at least 2020 as ECB and SNB gear up for policy change
SwapClear incurs record number of margin breaches
LCH’s interest rate derivatives clearing service reported over 4,000 backtesting exceptions in Q1
CDS market mulls settlement options for Russia contracts
Tightened US sanctions threaten CDS default auction, leaving users a choice of imperfect alternatives
Interest rate swaps help BMO keep M&A deal on track
Hedges to safeguard the Bank of the West acquisition have already yielded $2.7bn in mark-to-market gains
Coded swaps reporting plan delights some, but not all
Cost-busting code for swaps reporting could be tricky if banks lack internal standardisation
A SwapAgent-bilat basis? Not for now
SA-CCR may make settled-to-market capital benefits more difficult to quantify
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