Derivatives
A new way to calculate conditional expectations
Gaussian distributions can sharpen one of the most commonly used tools in quant finance
JP Morgan AM leads US funds in equity index options buildout
Counterparty Radar: S&P 500 puts and calls grow 10% in Q1
US mutual funds retreat from inflation hedges
Counterparty Radar: Volumes down 44% as Pimco slashes positions; Western Asset and JP Morgan buck the trend
The final stretch: outstanding issues in non-linear RFR derivatives
Six months on from Libor’s cessation, cash and derivatives markets have adapted quickly to the new multi-rate world. In the US, where selected US dollar Libor tenors will remain in place until mid-2023, SOFR is firmly established as the preferred…
Goldman retakes top dealer spot in single-name CDS trades
Counterparty Radar: Pimco, Ice increase market share as volumes decline
Pimco, Western AM buttress sold index CDS positions
Counterparty Radar: US funds grow CDX NA HY positions by $7.2 billion in Q1
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Capital Group leads charge in ballooning IR swaps market
Counterparty Radar: US mutual funds flock to G10 currency trades as macro conditions worsen
MSIM cuts third of FX options volume amid market contraction
Counterparty Radar: Manager pares $13bn of USD/RMB trades, deals blow to BNP’s market share
Libor/SOFR basis like ‘free money’ for early movers – GS trader
Sharp narrowing of basis swaps below fallback spreads has failed to open transition floodgates
Citi dominates mutual funds’ Q1 swaption expansion
Counterparty Radar: Goldman maintains commanding share of dealer business as space hits new record high
State Street flies high in FX forwards as Goldman, Citi dive
Counterparty Radar: Goldman loses half of market share, drops out of dealer top 10
JP Morgan appoints two new equities quant research co-heads
New heads will share responsibilities previously held by deep hedging pioneer Hans Buehler
EU pension fund clearing exemption set to be extended
Extra 12 months’ grace from mandatory swap clearing, but some fear effect on EU CCP liquidity growth
Euro, Swiss swaps trading jump on rate hike chatter
Highest weekly volumes since at least 2020 as ECB and SNB gear up for policy change
SwapClear incurs record number of margin breaches
LCH’s interest rate derivatives clearing service reported over 4,000 backtesting exceptions in Q1
FTX proposal could prompt wider clearing changes
FCMs say current clearing structure could end up adopting parts of crypto exchange’s novel approach
Is DLT post-trade a solution without a problem?
Sources question landmark projects' ability to use technology at scale as further delay besets ASX deployment
Will the Russian gas crisis derail the EU’s climate agenda?
As Europe weans itself off Russian gas, this Risk report asks whether the EU’s climate and carbon agendas will suffer.
Coded swaps reporting plan delights some, but not all
Cost-busting code for swaps reporting could be tricky if banks lack internal standardisation
CDS notionals made a comeback in 2021
A 5% rise to highest end-year figure since 2017 driven by swaps on junk debt
Benchmark challenges inhibit crypto adoption
Without authoritative reference pricing, users may struggle to value assets and assess execution, traders say