USD Swaps Margin Calls in March 2023

I know our readers will have followed the events of the last two weeks, covering Silicon Valley Bank (SVB), First Republic Bank(FRC) and Credit Suisse (CS). Each different institutions, but each faced with massive depositor withdrawals caused by a loss of trust in the soundness of their business. At the start of 2023, who would […]

Credit Suisse & UBS LIVE Blog

SBSDRView allows us to track trading in single name CDS: Follow the blog live today to see what the market thinks of the Credit Suisse-UBS deal. We will also be following other banking CDS (Deutsche amongst others….) to monitor any potential contagion. 10:00am CET We have already had the first Credit Suisse CDS trade of […]

How to Trade A Bank Run

Much of what is written on this blog stems from the “OG” Financial Crisis back in 2008. Without that, we would not have seen the Dodd Frank Act or post trade transparency in OTC derivative markets. Back in 2008 I was trading cross currency swaps. These were one of the hardest hit instruments as the […]

What’s New in CCP Disclsoures – 4Q22?

Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Background Under the CPMI-IOSCO Public Quantitative Disclosures, CCPs publish over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing and more. CCPView has over 7 years of these quarterly disclosures for 44 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep […]

The Most Popular SOFR Trades

Transparency data allows us to look at the distribution of risk across the curve. We may be used to seeing activity concentrated in benchmark tenors such as 2Y, 5Y, 10Y and 30Y in US markets, but have SOFR swaps developed in a similar manner? As a starter the ISDA-Clarus RFR Adoption Indicator shows the amount […]

Now everyone can understand bank capital requirements

In January 2022, I wrote about SACCR: Bank Capital. A bank will typically have one of two constraints – either Leverage Ratio or Credit RWAs. This is because a bank has to hold a given pot of capital versus its exposures, and these exposures are not necessarily additive. It simply has to hold enough tier […]

Average and Term SOFR Volumes in 2022

Recently I looked at Term SOFR and BSBY Volumes in 2022 and in that article I used a pretty loose definition of Term SOFR; basically anything where the index was not the standard overnight SOFR index. My goal being to isolate the trades not using overnight SOFR. Today I want to seperate out the use […]

Why Did SOFR Trading Decrease in January?

The ISDA-Clarus RFR Adoption Indicator for January 2023 has now been published. Showing; Why The Stasis? Am I becoming a broken record? In the past few weeks, I have written: All of those blogs are very much about the slower than required adoption of RFRs, particularly SOFR, as June 2023 fast approaches. What does this tell […]