Derivatives
BlackRock, Pimco slash mutual fund swaptions books
Counterparty Radar: US retail funds retreat from trade as Morgan Stanley becomes top dealer in Q2
Hedging of financial derivative contracts via Monte Carlo tree search
This paper applies the Monte Carlo tree search as a method for replication in the presence of risk and market friction
US banks ditch IR futures as appetite for swaps booms
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
Pricing the transition of Scope 3 emissions
A framework to measure banks’ costs associated with carbon emissions is proposed
Morgan Stanley’s default fund contributions jump $1.9bn in Q2
Aggregate increase across US clearing banks pushes requirements to highest point since 2021
Isda proposes new central hub for critical notices
Trade body seeks industry feedback on one-stop shop for default notices and other critical comms; sceptics say the service is “not a universal solution”
RBC’s credit derivatives book grows fourfold on market-making push
Notionals of credit protection sold and purchased have ballooned 236% and 382% respectively since October 2022
Asset managers offer tailored LDI to smaller pension schemes
Minimum AUM for customised hedging slashed from around £400m to £75m
Energy Risk Asia Awards 2023: The winners
Winning firms demonstrate resilience and robust risk management amid testing times
Citi, JP Morgan slash $3tn of OTC notionals in Q2
Trimming of cleared portfolios bucks trend across top US banks
Rate of cleared OTC derivatives rises at European banks
Swedbank leads dealers in secular trend towards clearing space
CFTC plan to relax MMF margin restriction sparks debate
Industry welcomes proposal to lift ban on repo-using funds as eligible IM, but some warn MMFs bring risks
JPM’s new EU arm is bloc’s 4th largest derivatives bank
Frankfurt-based dealer eclipsed homegrown G-Sibs in 2022 on several indicators
Managing Japanese interest rate risk and creating trading opportunities
With an anticipated rise in Japanese interest rates, 3-Month TONA Futures have attracted the interest of investors worldwide since debuting on the Osaka Exchange (OSE) in May. Kensuke Yazu, general manager for derivatives business development at OSE,…
Goldman’s Marquee is a gradual revelation
Multiple apps are being corralled into a sticky cross-asset ecosystem, updated with Python and cloud
Podcast: Julien Guyon on volatility modelling and World Cup draws
Academic discusses option pricing, path-dependent volatility and tackling FIFA’s statistical bias
Eurex wargames pricing derivatives during disruption events
Ukraine war and tech glitches prompt German exchange to set out methods for handling market closures
Derivatives valuation swings lop $2.4bn off BofA’s income in Q2
DVAs and markdowns on fair-value hedges return to drag on dealer’s revenue
Hedge funds turn to exotics for EM carry trades
Traders eye dual digitals to cheapen up carry plays
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
Deutsche Bank’s swaptions trading with US retail funds soars
Counterparty Radar: Space grows 6% in Q1 as Citi’s book of business also surges
MassMutual maintains lead in IR swaps market for life insurers
Counterparty Radar: Bank of America heads dealer rankings as sector’s notional drops 1%
The battle to stop energy markets boiling over
European CCPs and supervisors join call for changes to mitigate any repeat of last year’s crisis
IR swaps market for US funds rebounds in Q1
Counterparty Radar: Notional traded by mutual funds, ETFs bounces back to early-2022 levels