Derivatives
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
UK pension fund buyouts frustrated by ‘dirty’ CSAs
Contracts allowing schemes to post corporate bonds as collateral are obstructing risk transfer to insurers
SA-CCR charges surge at BNP Paribas and ING
Dealers’ RWAs rise combined €3.1bn in volatile Q1, among biggest quarterly jumps since SA-CCR’s EU debut
Top EU banks’ OTC derivatives climbed 12% in 2022
All but two dealers report higher notional amounts, led by Crédit Agricole
A three-point turn in derivative design
Citibank quant’s triangle method allows information geometry to be applied to hedge structuring
Citi’s CVA charge up 7% in Q1
Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America
After SVB downfall, EBA stress test seeks out unrealised losses
European regulator asks for data on the fair value and sensitivity of bonds and their hedges
US life insurer index options market hits $1trn mark
Counterparty Radar: Lincoln Financial emerges as top player in Q4 with $43 billion portfolio increase
D-day for the rates market: solving the outstanding issues in US Libor transition
The next months will determine how rates markets cope with the death of Libor. With transition efforts approaching D-day, experts discuss the issues facing the market, the progress made so far and the outstanding issues facing the ‘new look’ rates market…
Information geometry of risks and returns
An innovative product design framework and its geometric interpretation is introduced
SVB salvage lands First Citizens with $18bn of FX contracts
Bank now holds seventh-largest stack of non-trading currency derivatives in the US
Citi becomes top single-name CDS dealer for US life insurers
Counterparty Radar: New York bank bests Barclays as sector contracts by $340 million at the end of 2022
State Street triples repo book to become top US fund dealer
Counterparty Radar: Pimco trades boost Boston bank as sector volumes hold steady in Q4
Hedge funds’ use of barrier options comes under spotlight
Former traders say Glen Point CEO’s arrest highlights compliance gulf between funds and dealers
Citi catapults to top credit options dealer spot for US funds
Counterparty Radar: Market for mutual funds, ETFs continues to shrink in Q4 as Pimco, PGIM further cut exposures
Fidelity, T Rowe add to sold single-stock call positions
Counterparty Radar: US mutual funds, ETFs shed $2.7 billion in options notional during Q4
Calamos grows equity index options book amid put U-turn
Counterparty Radar: US retail funds cut $39.3 billion notional in Q4
Athene dominates FX forwards market for US life insurers
Counterparty Radar: Morgan Stanley claims top dealer spot in $56 billion sector
BMR grows bought single-name CDS book as market slumps
Counterparty Radar: US retail funds cut $1.5 billion in sold swap positions in Q4
Initial margin requirements for IR swaps hit record $325bn
CME, Eurex and LCH report aggregate 10% rise in month marred by most severe crisis since 2008
Capital Group, BMR double down on bought index CDSs
Counterparty Radar: Market for US mutual funds contracts in Q4 for the first time in eight quarters
US life insurers retained inflation hedges despite CPI drop
Counterparty Radar: John Hancock is biggest user of inflation swaps among US insurers, BNPP the largest dealer
First CAD, yen inflation swaps appear in mutual fund filings
Counterparty Radar: Western Asset slashed inflation bets in Q4 as Empower probes new frontiers