Derivatives
Real money investors cash in as dispersion nears record levels
Implied spreads were elevated to start 2026. Realised levels have been “almost unprecedented”
Investors turn to costly ‘all weather’ hedging strategies
Geopolitical and technology risks spur demand for multi-strategy QIS tail hedges
How US shutdown set off long-awaited basis bet
Hedge funds dust off a years-in-the-making relative value trade to profit from fallback mismatch
The changing shape of variation margin collateral
Financial firms are open to using a wider variety of collateral when posting VM on uncleared derivatives, but concerns are slowing efforts to use more non-cash alternatives
The changing shape of variation margin collateral
Rising costs and market stress are pushing firms to increase non-cash variation margin, with buy- and sell-side attitudes diverging and tri-party services gaining traction despite operational challenges.
Calamos brings popular US autocall ETF to Europe
Dublin filing points to Q1 launch for Calamos Autocallable Income Ucits ETF
Non-cleared derivatives margining jumps after framework rollout
Margin-to-notional ratio trails early regulatory estimates
Deutsche Bank returns to US swaps client clearing
Re-entry comes after Basel III endgame proposals sparked capacity concerns among global clients
MTS eyes 2027 launch for dealer-to-client swaps trading
Plans for US Sef licence could address missing piece in defunct WeMatch swaps tie-up
Credit derivatives surge to nine-year high at top US banks
$1.35 trillion notional added as banks ramp up CDS activity
Wells Fargo bucks peers with rise in CCP default fund contributions
Heavier clearing drives bank’s balance to new high in Q3
US banks diverge from global peers on OTC clearing
Clearing rates fall in US as UK, Europe and Canada push higher
Interest rate ETDs surge to second-highest level on record
Futures-led surge signals firmer views on rate direction
Hong Kong derivatives regime could drive more offshore booking
Industry warns new capital requirements for securities firms are higher than other jurisdictions
The relative entropy of expectation and price
The replacement of risk-neutral pricing with entropic risk optimisation
Quantcast Master’s Series: Jack Jacquier, Imperial College London
A shift towards market micro-structure and ML has reshaped the programme
Banks scale back short-dated FX swaps trading, BIS finds
Interbank FX swaps hit by higher short-term hedging and funding costs, while longer-dated forwards activity jumps
Who is Selig? CFTC pick is smart and social, but some say too green
Colleagues praise crypto smarts and collegial style, but views on prediction markets and funding trouble Senate
Bank of America leaps to fourth on global OTC derivatives ranking
Bank overtakes BNP Paribas, Morgan Stanley, Goldman and Citi with €8.3 trillion expansion in 2024
Quantcast Master’s Series: Petter Kolm, Courant Institute
The NYU programme is taught almost exclusively by elite financial industry practitioners
Record $95bn in equities sits with US banks as OTC margin
Stocks on par with US Treasuries in top dealers’ collateral trove