North America
OTC derivatives hit $730 trillion peak in H1 2024
Interest rate and FX derivatives drive notional spike
Repo and FX markets buck year-end crunch fears
Price spike concerns ease as September’s surprise SOFR jump led to early preparations for bank window dressing
US senators press CFTC on Japan swap clearing
Boozman and Hagerty urge action on yen swap clearing access to JSCC in letter to US regulator
Op risk data: Santander in car crash of motor-finance fail
Also: Macquarie fined for fake metals trade flaws, Metro makes AML misses, and Invesco red-faced over greenwashing. Data by ORX News
Traders dredge 0DTE data for intraday gamma insights
Firms such as UBS, BofA and OptionMetrics are investing in continuous net options position monitoring
Post-UBS takeover, Switzerland sees biggest regional G-Sib score spike
Credit Suisse acquisition pushes UBS’s complexity category to all-time high, driving up country’s overall score
Long gamma puts brakes on post-election US stock rally
Call selling by ETFs helped fuel largest net gamma positioning among dealers since July
Fed’s stricter G-Sib scoring punishes BofA, Goldman
Duo’s method 2 capital requirements will diverge further from those entailed by Basel’s methodology
Fed stress-testing operational readiness of discount window
Experts say consultation on improved ops should be accompanied by focus on willingness to borrow
Options expiry triggers $4bn liquidity shortfall at NSCC
Second-largest simulated shortfall on record mitigated by extra liquidity deposit and OCC commitment
Millennium risk manager defends leverage in basis trade
“Gross notional measures don’t equate to market risk,” says Scott Rofey
CFTC weighs third-party risk rules for CCPs
Clearing houses could be required to formally identify and monitor critical vendors
BofA’s rates revamp leans into multi-strategy boom
New rates head Laura Chepucavage prioritises collateral efficiency, e-trading and central risk book for enlarged rates, futures and financing unit
Goldman chalks up highest VAR breach since pandemic
Nine breaches in total across 34 banks in Q3
StanChart boosted OTC clearing rate by 11.7pp in 2023
Tilt contrasts with move away from CCP trades at Citi, Wells Fargo
US banks return to MBSs amid value recovery
Bank of America and Wells Fargo ramp up AFS holdings in the third quarter
FX options market eyes Trump inauguration trades
FX Markets Europe: Traders turn to short-dated plays on cabinet picks and early tariff actions
Goldman’s unmatched sold credit protection up 15% in Q3
Written notionals not hedged by buying identical protection on riskiest names jumped 85%
New CME guidance to drive tighter margin call management
Clearing house rule clarified to limit the use of grace periods to cases of admin/operational errors only
Barclays dethrones JP Morgan as largest OTC derivatives dealer
UK bank’s notionals surged 12.6% to $49 trillion in 2023, G-Sib indicators show
Substitutability cap keeps JP Morgan out of top G-Sib bucket
Uncapped systemic risk score grows to highest level on record