Swaps
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
Dealers slam alternative for Tibor Tokyo swap rate
Refinitiv activates synthetic version, but TSR’s cessation is on hold pending further consultation
Client margin at Credit Suisse down over $10bn last year
Bank's US clearing units slashed required funds for swaps and F&O
Market halts clearing shift to Eurex ahead of EU consultation
Participants hit ‘pause’ after proposed three-year equivalence extension for UK clearing houses
CFTC delays rewritten swaps reporting rules after industry plea
Firms still face multiple rounds of compliance to implement UPI and ISO standards
Pimco’s Brazilian real deal swells its swaps portfolio
Counterparty Radar: Bond investor held an 83% market share of BRL swaps traded with mutual funds at Q3 2021
Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew
Credit Suisse’s US clearing unit cuts client margin by over 40%
Required segregated customer funds for swaps, futures and options down sharply since Archegos default
Looking ahead to the post-Libor landscape
Libor’s days are coming to an end, so what does the future hold? A Risk.net expert panel discusses the original dream of a multi-benchmark world, and whether it is still alive
Counterparties clash over ‘dirty’ CSAs
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
At LCH, required IM rose over Q3
Required minimum demanded of clients increased at ForexClear, RepoClear and EquityClear, but fell at SwapClear
UK bank derivatives exposures rose by £38bn in Q3
FX contracts drove the overall increase
Swaps between UK banks and foreign firms up in Q3
Despite latest uptick, gross value of derivatives contracts held by UK banks is 67% below 2008 peak