Swaptions
Pimco’s $19 billion Sonia swaptions trade
Counterparty Radar: Bond giant springs up as largest player in space among US mutual fund managers, with Guggenheim shadowing its move
Derivatives trading halved amid CrowdStrike tech outage
With broker screens offline, G3 rates derivatives volumes plunged versus a normal Friday
Rates markets rattled as tech outage hits broker pricing feeds
Dealers widened spreads and pulled live curves after TP Icap’s pricing feeds went offline
Vanguard stages swaptions comeback
Counterparty Radar: Deutsche grew book to $11 billion in Q1 to become largest non-US swaptions dealer to mutual funds
How steepener trades burned hedge funds, and what happened next
Delays to central bank rate cuts torpedo popular trade, causing funds to pull capital – to the chagrin of sell-side desks
Continued decline of the one-stop shop
Dealer Rankings 2024: Only two banks make the top 10 across all rankings tables – others have focused on vertical dominance
Often fluid. Not always liquid
Dealer Rankings 2024: On the buy side and the sell side, the make-up and depth of OTC mini-markets can change rapidly
Clear warning on escape hatch for optimisation trades
CCPs fear Emir clearing mandate carve-out for portfolio rebalancing could be abused
Citi halves swaptions book with US retail funds
Counterparty Radar: Mutual funds and ETFs cut exposures by 22% in Q4
Basel’s cherry-picking toughens IRRBB shock scenarios
European banks want higher outlier thresholds to offset higher confidence level in new standard
Anticipating Fed cuts, Huntington drops $15.5bn of pay-fixed swaptions
Bank terminates costly hedging strategy merely a quarter after upping notional values by a third
Mizuho’s life insurance swaptions notional climbs 575% in a year
Counterparty Radar: Prudential, Global Atlantic add substantially to positions in Q3 as market’s notional total grows to $184bn
Citi swaption volumes surge as BlackRock relationship flourishes
Counterparty Radar: Market leader Pimco cuts nearly one-third of book in Q3
Blow-out on ‘dim sum’ bonds fuels boom in offshore rates options
Swaptions on USD/CNH swaps enjoy boost as investors adopt ‘all-you-can-eat’ approach to callables
Dutch pension reforms face political uncertainty
Elections cast doubt on pension funds’ ongoing transition to defined contribution structure
BlackRock, Pimco slash mutual fund swaptions books
Counterparty Radar: US retail funds retreat from trade as Morgan Stanley becomes top dealer in Q2
Podcast: Artur Sepp on rates volatility and decentralised finance
Quant says high volatility requires pricing and risk management models to be revisited
A robust stochastic volatility model for interest rates
A swaption pricing model based on a single-factor Cheyette model is shown to fit accurately
Global Atlantic’s swaptions book surges
Counterparty Radar: KKR-owned firm exploits lower volatility in Q1 as swaptions market for US life insurers grows 17%
Invesco is first US mutual fund to trade €STR swaptions
Counterparty Radar: Trades were some of just a handful of €STR swaptions to hit the market this year
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