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
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