Everything from the Long Term Capital side in 1998 I got from the end of the Audio book of "When Genius Failed: The Rise and Fall of Long Term Capital". (The theory of JP Morgan buying out banks that play ball is just my speculation but it fits with what has happened in the past and explains these banks going illiquid if they switched every contract they have from LIBOR to SOFR).
Office of the Comptroller of the Currency (OCC) -
March 31, 2023
Quarterly Report on Bank Trading and Derivatives Activities - Fourth Quarter 2022 - PAGE 12 & PAGE 22
Currently there are monthly reports tracking the volume of derivatives trading and about 60% volume of derivatives trading on the market are in the RFR (which is the SOFR change) rather than LIBOR.
Everything from the Long Term Capital side in 1998 I got from the end of the Audio book of "When Genius Failed: The Rise and Fall of Long Term Capital". (The theory of JP Morgan buying out banks that play ball is just my speculation but it fits with what has happened in the past and explains these banks going illiquid if they switched every contract they have from LIBOR to SOFR).
https://www.goodreads.com/book/show/10669.When_Genius_Failed
LIBOR to SOFR explanation info is here
https://www.youtube.com/watch?v=727EjJg1NpY
SOURCES
(March-20-2023) The 2023 Banking Crisis Fuse Has Been Lit
https://www.youtube.com/watch?v=Dtc7Bp8e_I8
Fed Borrows $184 Billion Without Congressional Authorization Circumventing the Debt Ceiling
https://www.aei.org/op-eds/fed-borrows-184-billion-without-congressional-authorization-circumventing-the-debt-ceiling/
BLOOMBERG - US Studies Ways to Insure All Bank Deposits If Crisis Grows
https://archive.vn/9XA3Z
Office of the Comptroller of the Currency (OCC) - March 31, 2023 Quarterly Report on Bank Trading and Derivatives Activities - Fourth Quarter 2022 - PAGE 12 & PAGE 22
https://www.occ.gov/publications-and-resources/publications/quarterly-report-on-bank-trading-and-derivatives-activities/files/pub-derivatives-quarterly-qtr4-2022.pdf
PAGE 22 - NOTIONAL AMOUNTS OF DERIVATIVE CONTRACTS HELD FOR TRADING:
TOTAL ALL COMMERCIAL BANKS, SAVINGS ASSOCIATIONS, AND TRUST COMPANIES ASSETS ~$21.1 Trillion
TOTAL DERIVATIVES ~$191 Trillion
TOTAL HELD FOR TRADING AND MARK TO MARKET (MTM) ~$181.9 TRILLION
An over leverage of about 40:1
View reports here: Office of the Comptroller of the Currency (OCC)
https://www.occ.gov/publications-and-resources/publications/quarterly-report-on-bank-trading-and-derivatives-activities/index-quarterly-report-on-bank-trading-and-derivatives-activities.html
PAGE 31 - Figure 7 - Derivative Notional Amounts by Type
BLOOMBERG - The Discount Window, Repo and FHLBs: A Guide to Funding Stress
https://archive.vn/cIVJ0
ST LOUIS FEDERAL RESERVE - Assets: Total Assets: Total Assets (Less Eliminations from Consolidation): Wednesday Level
https://fred.stlouisfed.org/series/WALCL
WHITECASE - SOFR amendments poised to ramp up in Q1 2023
https://archive.vn/VXa9N
BANK OF INTERNATIONAL SETTLEMENTS - Interest rate basis risks in the Libor and RFR worlds
https://archive.vn/B6Qtw
ZEROHEDGE - EU Contagion Risk Spreads As CDS Market Puts Focus On Deutsche Bank
https://www.zerohedge.com/markets/eu-contagion-risk-spreads-cds-market-puts-focus-deutsche-bank
(June-30-2016) BLOOMBERG - Deutsche Bank May Be Top Contributor to Systemic Risk, IMF Says
https://archive.vn/I4Y0V
(July-5-2016) Deutsche Bank To Initiate The Next “Financial Crisis”
https://archive.vn/Ls16F
The Exeter Pyramid
https://www.moneymetals.com/news/2020/04/01/silver-investing-during-financial-crisis-002000
WHERE TO ACCESS LIBOR TO SOFR PUBLIC REPORTS
REPOST (March-16-2023) Update on LIBOR to SOFR:
Derivatives by trade volume is being measured monthly https://www.isda.org/2022/05/16/benchmark-reform-and-transition-from-libor/#clarus
RFR or Risk-Free Rates in US is SOFR Whitepaper on the methodology https://www.isda.org/a/iKNTE/ISDA-Clarus-RFR-Adoption-Indicator-Whitepaper.pdf
Page 2 in the USD row
Currently there are monthly reports tracking the volume of derivatives trading and about 60% volume of derivatives trading on the market are in the RFR (which is the SOFR change) rather than LIBOR.
March 2023 Monthly Report https://www.isda.org/a/aeLgE/ISDA-Clarus-RFR-Adoption-Indicator-March-2023.pdf
Interactive Chart https://rfr.clarusft.com/
(October-26-2022) Interest Rates Benchmarks to Affect You & Everyone Else | ITM Trading
https://www.youtube.com/watch?v=NDeugwIy99k
Slides & Links - Interest Rates Benchmarks to Affect You & Everyone Else
https://www.itmtrading.com/blog/interest-rates-benchmarks-to-affect-you-everyone-else/
https://archive.vn/dPCMl
BIS - The notional value of outstanding over-the-counter (OTC) derivatives rose to $632 trillion at end-June 2022, up from $598 trillion at end-2021.
https://www.bis.org/publ/otc_hy2211.htm
https://archive.vn/4BUWP
Thanks!