Exchange-traded funds (ETFs)
Gamma jitters from defined outcome funds
Tumbling equity markets could flip dealers’ exposure to gamma from long to short, leading to hedging losses
Morgan Stanley shoots into FX options dealer top spot
Counterparty Radar: US mutual funds added $11.1 billion in new positions in Q1
Pimco doubles down on FX forwards trades in Q1
Counterparty Radar: Pimco accounted for nearly 60% of all notionals added by mutual funds
Citi halves swaptions book with US retail funds
Counterparty Radar: Mutual funds and ETFs cut exposures by 22% in Q4
BlackRock’s interest rate swaps notional climbs 20%
Counterparty Radar: US retail funds continued to add to their positions in Q4
Invesco more than triples size of its FX options book
Counterparty Radar: Manager’s portfolio exceeded $5bn notional in Q4
Pimco’s cuts to FX forwards positions hit dealers in Q4
Counterparty Radar: State Street takes top spot among dealers as BNP Paribas slides to fourth
Zero-day hedging takes root in new asset classes
Option users move beyond equity indexes in search of cheaper, sharper hedging tools
Canada’s FRTB pioneers get snowed on fund-linked trades
As Basel capital reforms go live, risk managers eye early adopters’ progress and push to improve capital treatment of fund-linked products
Citi swaption volumes surge as BlackRock relationship flourishes
Counterparty Radar: Market leader Pimco cuts nearly one-third of book in Q3
Pimco’s interest rate swaps book shrinks 21% in Q3
Counterparty Radar: BlackRock and Capital Group also trim positions to drive down swaps usage by US mutual funds
US mutual funds’ passion for LatAm FX options undimmed in Q3
Counterparty Radar: Carry trade opportunities see managers’ positions increase tenfold in 2023
BNP takes top forwards spot with US mutuals
Counterparty Radar: French bank ousts Bank of America to lead the table for the first time
Conditional and unconditional intraday value-at-risk models: an application to high-frequency tick-by-tick exchange-traded fund data
The authors consider conditional and unconditional intraday value-at-risk models for high-frequency exchange-traded funds, providing results useful to practitioners of high-frequency trading.
BlackRock, Pimco slash mutual fund swaptions books
Counterparty Radar: US retail funds retreat from trade as Morgan Stanley becomes top dealer in Q2
BNP Paribas is biggest fish in shrinking repo pond
Counterparty Radar: US retail funds cut their repo exposure in Q2 to the lowest level since 2020
US funds add to single-name CDS positions
Counterparty Radar: Corporate positions exceed SSA contracts for first time on record in Q2
Pimco adds $103bn in fresh receive-fix interest rate swaps
Counterparty Radar: Bond powerhouse moves to lock in high rates in Q2 with one-year swap
Talking Heads 2023: A turf war in credit markets
Banks are looking to reclaim territory they previously ceded to market-makers and private funds
PGIM nearly eliminates credit options book
Counterparty Radar: Pimco also exits space in Q2 as US funds show record low positions in the instrument
Flow Traders bullish about threat from big banks
Talking Heads 2023: Non-bank market-maker remains confident of its edge in small-ticket corporate credit